You can swim with Fungi the dolphin in Dingle Co. Kerry in the Republic of Ireland. He's normally there during the summer months - you could be a bit late for him this year!
Seems a bit cruel unless you just wanna swim in the sea in their natural home. I've seen them in Ibiza, Zante and pretty much most of the other Greek islands. Go there and take a boat out.
A couple of my friends used to be part of Surf Rescue in Aberdeen and they were always coming accross dolphins when they were out in the sea. I went to Orkney last weekend and was lucky enough to spot a couple of dolphins from the ferry, apparently there are orcas in there too. So swimming with them may be risky...that and freezing to death.