I especially like baby octopus. I get it at my local Korean supermarket. It tastes great with Korean hot sauce or Mediterranean style, with olive oil and some seasoning.
Reminds me of an Anthony Bourdain show. He went to El Bulli one last time before its closing.
One of the dishes was four baby octopi that the diner would, using tweezers, dip each one in a hot liquid for 3-5 seconds before consuming.
I have seen those at the store. They are kind of dark brown. I don’t know if they are pickled or what.