Ok, if you watch this video, the whaleshave some air given to them by a scuba diver, and they then blow'air' kisses. I love the bit where theyre playing with the ball at the end!

http://www.youtube.com/watch?v=eXqjMvGcrns&NR=1

But in this video.... dolphins seem tobe able to create these air rings with out any help

http://www.youtube.com/watch?v=TMCf7SNUb-Q