Joined: Dec. 2005
I doubt there has been much dolphin genome sequencing done, so if it's dolphin specifically you're looking for, I can't help you.
But the genome of a relatively closely related terrestrial mammal, the cow (Bos taurus), is currently being sequenced, and there is already quite a lot of data in the databases.
For an analysis of a large (1.8 Megabase) region corresponding to part of human chromosome 7 (including the cystic fibrosis transmembrane conductance regulator, CFTR, aka "the cystic fibrosis gene") in 12 vertebrate species, see:
Thomas et al, 2003, Nature, 424(6950):788-93. Comparative analyses of multi-species sequences from targeted genomic regions.
For more recent phylogenies of mammals see:
Murphy et al, Nature. 2001 Feb 1;409(6820):614-8. Molecular phylogenetics and the origins of placental mammals.
Madsen et al, Nature. 2001 Feb 1;409(6820):610-4. Parallel adaptive radiations in two major clades of placental mammals.
Liu et al, Science. 2001 Mar 2;291(5509):1786-9. Molecular and morphological supertrees for eutherian (placental) mammals.