These fish with the fish roe inside, are called Capelin in English, at least that's what I think they're called. They are a sardine sized fish that come close to shore to spawn and fishermen catch them in the shallows when they're full of eggs. The yellow eggs, or roe, are left inside after gutting the fish. You can buy them at the supermarkets of Thailand, if you ask for 'blah-khai' (literally fish-egg), the fish monger will know what you're asking for, or print out the photo after the break to show him.
I was at the opening of Mega Bangna shopping mall, and at an all-you-can-eat buffer there, I ate these BlaKhai fried in breadcrumbs.