This copepod (Gaussia princeps) was collected deeper than 1000 meters in the Sargasso Sea by Census of Marine Zooplankton (CMarZ) researchers in April 2006, as part of the 10-year Census of Marine Life. However, specimens of this species have been collected in all the world's oceans at many depths: in the Caribbean, it has been found at depths as shallow as 25-50 meters!
G. princeps is a bioluminescent species, with both males and females producing blue light. Its light is bright enough that molecular biologists use the bioluminescent pigment as dye in the lab to help them visualize their experiments.
Reference: Suarez-Moralez, E. 2007. The mesopelagic copepod Gaussia princeps (Scott) (Calanoida: Metridinidae) from the Western Caribbean with notes on integumental pore patterns. Zootaxa 1621: 33–44. (PDF)
See more photos of cool zooplankton collected by the researchers in this zooplankton biodiversity slideshow.