It's not as sad a situation as you think. The good news is that you can find and remove any remaining pin bones from fillets before cooking. All you have to do is run your fingers along the edges of the fillets, from the outside in, and you are likely to feel any remaining bones. Then you can pull them out with tweezers (I keep tweezers in my kitchen just for this purpose). It's a little more difficult to do this with, say, trout, because there are just so many fine bones. And don't even THINK of trying it with shad!

But if you can get fillets of halibut, cod, scrod -- these are BIG fish that are usually cut into portions from big fillets that were already well-boned. (Chilean sea bass is another such fish, but I can't recommend it because it is on too many endangered lists.

)
But yes, fish cooked on the bone is so much tastier. Here, the good news is that if the fish is cooked properly, the bones are easy to remove. After you cook the fish, cut off the head, tail, and dorsal fins (along the back or "top" of the fish); slide a broad knife (dinner knife is fine) in from the dorsal end and run it along on the top of the bones -- you should be able to feel the bones underneath the flat side of the knife blade. Cut the whole length of the fish, then use the knife to flip the fish open like a book. You can lift off the skeleton. Run your fork across the remaining fillets, along the surface, and you'll dislodge most of the remaining bones. Just pull them out and enjoy your fish!
The flip side is little bitty fish, like smelts: the bones of really tiny ones, especially when fried, are edible as is. Just chomp away!
One more thing: take small bites and eat slowly! This sounds a little too motherly, maybe, but if you do, you'll feel the remaining bones before they have a chance to do any damage. Work them gently to your lips and (discreetly

) pull them out of your mouth.
Welcome to the wonderful world of piscavores!