Did this 18 months ago and it was so good we went back on our second trip to Madeira last week. 18 m ago we swam with dolphins and it was a truly breath-taking experience. Last week we couldn't because of hundreds of Portuguese Men of War - a dangerous jellyfish. But we still loved the three hours on the water. We saw a pod of common dolphins feeding and then a very large pod of bottle-nosed dolphins. How the company spot and then find the pods seems almost miraculous.
The marine biologists are very knowledgeable and the whole company safety conscious. We had our trip postponed a couple of days due to wind and sea conditions. When we went out I'd say we were at times in a 1.5-2m swell. Perfectly safe, but if you suffer motion sickness pick a flat calm day.
It's not cheap, but worth every Euro, and worth going to Madeira just to do this!
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