We booked a catamaran trip to see dolphins and whales. It's pretty much the same as the Royal Caribbean one but we paid 1/3 of the price booking it direct with http://www.madeira-seekers.com/ It was just 45 for both me and my son. It was well organised and a lovely 3 hour trip. We saw tons of dolphins swimming and playing right next to the boat, even under the netting area we were sitting on!
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