These are almost always sold to the wholesaler pre-frozen, so you should buy them frozen. Both squid, commonly known as calamari, and its more richly flavored cousin the octopus freeze exceptionally well.
Again, if you can buy squid and octopus – not to mention cuttlefish – fresh, do it! They are rare treats even at fine fish markets and should be appreciated as such. Like finfish, you should look first at their eyes, which should be clean and bright.