If one encounters a Dolphin, the marine mammal will make clicking and whistling noises as a "hello". They are usually found in group and will attack sharks. If you hit them, they will tweet in a higher-pitched note and swim away. If there is a group nearby, they will also swim away, sort of reverse behavior when compared to wolves and zombie pigmen.
Dolphins are found in deep bodies of water, otherwise sea biomes. It must be Y=65 or less in a volume of water in order to find one. Beware, this is also where Sharks are found.