I saw humpbacks off Cape Cod which is still my favourite whale experience - I loved being on a tiny boat, right out there in the vast ocean and have them swimming around and allowing our presence, one little movement and they'd have left us far behind. We also saw minke. And got FROZEN on the way back but it was a magical (September) sunset.
Then I saw Orcas from Vancouver Island and didn't enjoy it. There were loads of boats and they all dashed after any orca that appeared and despite the restrictions (which our guy stuck to but others didn't) it felt very much as if you were hounding them, in the narrowish stretches of water between islands. We also saw a lot of Dall's porpoise which swam around the RIB which was great.
I saw Bryde's whale from North Island and sperm whale off Kaikoura in New Zealand this year and was a teeny bit disappointed, I got a fantastic photo but it was a whale getting its breath and then diving which is impressive and if I'd never seen a whale before would have been exciting but I was spoilt by those damn humpbacks.
I've seen the very occasional dolphin in the Med and swam with the dusky dolphins in New Zealand. That was rather frantic but to have one swim round me in a circle following my rotation, one swim in front and look me right in the eye, one with a calf swim right by and to look down and seem them swimming deep below under me was a great experience. They reckoned there were about 450 there that day, there are up to 1000. To have them swimming close around you and be jostled in the water but they never touch you is impressive. We used to just go down the coast after that and just watch them out in the ocean.
That said, the thing I really, really loved were the albatrosses!