The Oxford English Dictionary offers only the hwale pronunciation but Chambers gives both hwale and wale sounds for the sea mammal.
Most people born and bred in England pronounce whales and Wales in the same way, though, as TCL suggests, most Scots say only the hw-variant for the former. The two sounds are quite distinctly different.
I don't know whether any of you watch Family Guy, but Stewie Griffin - who plays the part of a typically American English villain - almost always pronounces wh-words as hw. It seems pretty clear, therefore, that only certain types of England-bred speakers distinguish whale and wail.