I could/should say, "You haven't seen the size of the home aquarium"
The dolphins and whales were scripted in....but I have come across both, separately ingame.
For dolphins....just go to the Canaries or that Spanish port (can't remember the name) west and slightly north of Gib.
Whales are harder to spot, but they move north east off the coast of Canada and through the GIUK gap.
The icebergs are a quite regular occurence.