If I would have to recomend a good restaurant in Denia, I'd never choose the "Pegolí". I have to say that overall the food was very good, specially "arros a banda". However, you will find places with lower prices and better quality in Denia's neighbourhood.
Regarding "gamba roja", you will read a lot of comments praising the delicious taste of this animal. That is true, but believe me, is it not worth to pay 170€ (can even reach 300€) for a Kg of shrimps (24 units).
I was born in Valencia and nowadays I work and live in germany. I'm a food enthusiast and I have no problem to pay a bill if the service deserves it. I strongly believe that if you are in front of a great job, you have to pay for it.
This is not the kind of feeling I had when I got the bill.
At the beginning of the lunch I asked kindly to the waiter what were the prices of the products we were ordering. He was a bit evasive and didn't tell us anything. Please, don't repeat the mistake. Ask always for the prices (some of them are not written in the menu).
The restaurant is located on the coast and has a very nice views, but if what you are looking for is good price/quality relationship, better keep searching.