When I was much younger, my friends and I used to go skin diving on shallow reefs along the Tuscan coast, and came home with octopus almost every day. I doubt the fishing is as good any more -- the area has been extensively developed -- but octopus continues to be quite common in Italian fish markets, and a steady fixture on Italian tables.
What you'll generally find are a foot to 18 inches long (25-40 cm), and given the choice you should select smaller animals, because they toughen with age, to the point that a large octopus (they can easily reach 6 feet, or 2 meters) will not be particularly edible. If you buy octopus from a fishmonger, it will probably be cleaned (ask for the ink sack if they have it, and use the ink to make a risotto or pasta sauce). If you catch it yourself you'll have to clean it, and Nancy Gaifyllia, About's Greek Cooking Guide, has instructions that are aimed at squid, but will apply to octopus as well.
Got a number of little octopuses? Try
Drowned Baby Octopus, Polpettielli Affogati
To serve 4:
8 small octopuses, weighing 1/3 of a pound (150 g) each
1 pound (500 g) plum tomatoes, seeded and chopped
2 cloves garlic
A small bunch parsley, minced
1/3 cup (80 ml) olive oil
Salt and pepper to taste
Take a not too wide, high sided pot, and put everything but the octopuses into it, adding a little water as well.
If the octopuses weren't already cleaned, clean them, and stand them upright with the tentacles down in the tomatoes. Cover the pot, bring it to a boil, and simmer the octopuses partially covered for 20 minutes; after about 10 check easoning. Serve them with the sauce.
Octopus on About:
Greek flame-grilled octopus pilaf
Japanese octopus salad
How to Select Fresh Fish
Octopus, Squid, Cuttlefish...