Doing this was one of the best things we did while staying on Madeira.
Half of the fun is the speedboat that takes you out on the ocean. We ended up seeing a large group of spotted dolphins and even a (big) pilot whale.
The marine biologist Vanessa (???) was great, she told us all about the dolphins and the whale we saw.
I would recommend this to anyone coming to Madeira, but since you are going out on the ocean there is a chance you may get seasick.
If you own or manage Rota dos Cetaceos, register now for free tools to enhance your listing, attract new reviews, and respond to reviewers.