If you want to shell out cash, you can also do the "Trainer For The Day" at SeaWorld.
You get to go behind the scenes of most of the animal areas including Shamu, Clyde and SeaMore, dolphins, and false killer whales. You get to help take care of them (prepare food) and feed them. You also get to swim in the killer whale tank (without Shamu) but you do get to swim with sea lions and dolphins! The program is an all day affair and runs around $400. Lunch is included.
It's honestly worth every penny!
I think Discovery Cove is great, but the dolphin interaction time is only 30 minutes. I felt ripped off when the kids in the group they put us in got all the time with the dolphin, though we did get one swim with it.
The Dolphin Cove area is really neat. You buy four fish for $5 (cheaper for AP holders) and feed them! It's great. The dolphins really seem to have a blast with this, as do the people in the park. As others have stated, get there early and claim your spot on the wall. They do it several times a day and the times are not always on the map. Check the feeding schedule on your way in.
Hope you have a good time!