In a place called Benalmadena on the Costa Del Sol, Spain there's a Marina with quite a few dolphin/whale watching boats. I've been on one trip and we saw a few whales (just our luck there had been a big pod earlier that morning but it moved on by the time we got there!
) , but even if you don't see exactly what you're looking for there were of sea birds and odd stuff like flying fish to watch
.