The Azores The Dolphin and Whale Connection specialises in whale watching and swimming with wild dolphins in the Azores. The Azores is one of the best locations worldwide to see dolphins and whales in the wild. May and June is the best time to see the big whales (blue whales, fin whales and hump back whales). We have escorted group tours in May or you can book an independent tour anytime from April to October. Our tours are responsibly operated and well regulated.