Wow some diverse opinions here. Here is mine:
I have done it legally (often with state permits however, New England is not especially friendly to hobbyist collection last I checked) for years everywhere from Maine to Florida and have had varying success that I can share. Assuming your are planning a Gulf Coast expedition, you're already on the right track. As noted above, you'll need to check into your local laws, I am not familar with the laws in Alabama. But like Rukis said, Florida allows a person who purchases a fishing license to collect a few inveretebrates or ornmental fishes. The fines for breaking the laws can be extremely harsh (jail, property seizure, massive fines) and ignorance is not usually an acceptable excuse. I usually check in with the local DEP/DNR/DEC officers just to make sure my collecting is legit. Showing that you want to follow the laws often goes a long way towards preventing misunderstandings. I always felt it granted me some slack when it comes to making an error (I mistakenly collected a protected area, the ranger just gave me a polite heads up, watched me return my catch to the water and then gave me some spots down the road that were legal to collect from). Be responsible in your collecting. Follow the laws and respect the habitat you are collecting in. Leaving disturbed areas or dead or dying animals in your wake is a sure way to raise local ire and get collecting shut down. And its just wrong. You want to have as little impact on things as possible and leave some critters for the next person.
That covered, you then need to choose species that are appropriate for home tanks. A good guideline is to look for species alreeady successfully kept in the hobby. That would be small urchins, hermit crabs, mithrax crabs, astrea, nassarius, cerith snails, pistol shrimp etc etc etc. For fishes, small gobies and blennies are probably your best bet. Most of what you see sold in LFS and online in the way of cleaners are wild collected as well (with a few exceptions). You wont find many true reef species dipnetting in the shallows but plenty of animals that will live in our tanks .
Getting them home safely is your responsibility and also requires some planning. Coolers work well and you can control the temps in there better. You'll want to either cut a small hole or notch for an airline. Battery powered or inverter powered air pumps work great here, simple airstones are fine. I use water collected with the animals or near the collection site as it can very quite a bit in temp and salinity near marshes and river outlets. Try to find the most clear water you can. Then run the water through a micron filter to remove plankton that will die off and pollute the water en route. I usually pack a few extra buckets of source water as well so I can do water changes as needed. Basically you'll have to use your nose and eyes as a test kit. If the water smells or is cloudy, its time to change it. Intertidal animals can be packed damp (paper towels just damp on top) and then just given a few minutes in saltwater every 12 hours you are traveling. Temps are more critical on the high end. Cooler usually wont be a problem unless you are talking below 60 degrees. But 90 degree water will kill many cukes and starfish quick.
As far as acclimation goes, be especially cautious acclimating sea stars, urchins and snails. Four hours is about right for drip acclimating. Getting the salinity matching is the main thing, pH and other chemistry is not as critical IMO. IF you have dedicated QT just set your salinity to what you expect the natural water to be (1.025 sg OR 34-35 except near river outlets and in late summer in the gulf). Everything else is pretty rough and ready, intertidal hermits especially are usually super hardy.
Hope this helps, as you can see a bit of forethought and research is needed but hopefully you will find mucking around for critters to be as rewarding as I have. Personally, I feel like if you plan well for this you'll have a fun experience, keep your animals alive just fine (they are usually hardy and don't have as many stops between sea and tank this way) and gain some insights into how these critters live in the wild.
