Dolphins are a friend of Mario and Luigi's in the game Super Mario World for the SNES. He will only find these creatures on selected water levels. Once he does, he'll usually find them in groups as they jump out of the water, if Mario jumps on one while in the air, it'll give him access to higher grounds. They are always blue, and wear orange and red goggles. Apparently, in the Japanese version of Super Mario World, Yoshi was able to eat these friendly creatures.
Dolphins also appear quite a lot in the Mario Party series. They appear in four of the series, including Mario Party 4, where he will allow characters to jump on him and let them collect coins. In Mario Party Advance, the player had to help one of the Dolphins get his confidence back and tell jokes. In Mario Party 7, the player is able to see Dolphins jump in the background at the File Select menu. In Mario Party 8, Dolphins appeared on Goomba's Booty Boardwalk and would allow players to ride them.