Even thought I don't go on whale whatching trips as often as I would like, I still went more times then I can count and with each trip I learned more and more.
Setting the camera is also very important, I set mine on Aperture Priority mode (betwen 7.1 and 9.0) to give that extra depht of field but alwas keep an eye on the shutter speed, you will want
The lens choice is also important less than 70 mm is not going to give you the close up you want. If the lens as image stabilizer the better but it is not essential.
Dolphins are the biggest challenge since they are as fast as lightning.
In order too shoot them you should start by looking at the back of the boat since they usualy jump paralel to the boat, so if you want to capture the face and not the tail look back.
Trie to focus your self on one dolphin only and track it and when it is near the surface start shooting to capture the jump. Dolphins run in packs if you trie to capture every dolphin jumping you will end up with nothing good.
Remember this, I am not a pro but I am lucky to live on an island that is packed with dolphins and sperm whales so I leraned this all by myself, my photos are not photoshoped, not even croped.
I hope you find this useful I know I would have like to have read this the first time I went on a whale whatching trip :) Take Care ;)