If you buy the following, you're pretty much guaranteed captive-bred stock
All livebearers (duh!)
Most Chichlids, South American & African
Essentially all Killifish
Bettas
Common Gourami species
Most Corydoras
Neon Tetras
White Cloud Mountain Minnows
Zebra Danios
Most barbs
Crayfish
Cherry Shrimp
All true freshwater snails
The following are common species I believe are almost never captive-bred
Kuhli Loaches
Hillstream loaches
Otocinclus
Siamese Algae Eaters
Wood/Bamboo Shrimp
Amano Shrimp
Nerite Snails
Most (but not all) cardinals
Small fish like Boraras and Microrasbora
Generally, the rarer the fish, the harder they are to breed in captivity. I've read though that something like 80% of all fish sold in the freshwater side of the hobby are now captive-bred, which compares very favorably to the salt-water side of the hobby, where only around 6% of species are captive bred at any level.
Honestly though, in a lot of cases I'd say wild-caught versus captive bred is a wash. Most captive-bred tetras and gouramis, for example, are bred on fish farms in Asia where they are pumped full of drugs their whole life. I don't know the details, but I wouldn't be surprised if the death rate for captive-bred neons shipped from Singapore is higher than for wild-caught ones shipped a shorter distance. Things like Killifish, Livebearers, and Chichlids, when they are captive-bred, are generally bred locally though, and are an excellent ethical choice.