Madeira Sea Life
After some years of recovery from intensive whale hunting which was forbidden in early 80s in Madeira, it is now possible to observe cetaceans in this archipelago waters again. Now you can run a whale and dolphin watching trip and you will have the chance to observe these friendly species, almost for sure.
There is also a Whale museum (Museu da Baleia) in Caniçal, the village that was the centre of whale hunting, where you may complement your knowing about whales, but there is nothing like seeing it alive on sea.

Whales, Dolphins and Cory's Shearwaters