I have seen the belugas at Sea World Orlando in the Polar exhibit, and while they aren't technically whales, I got to see some really neat behavior from the Orca there as well.
Apparently there were two pups/cubs/whatever the hell you call whale/dolphin babies in the pod at the time. Both mothers, and consequently the babies, were in the show tank for the show. The show never started because the babies were apparently getting too rough in their play and the mothers kept going to separate them. The pod matriarch was in a connected pool, and occasionally she would whistle and the pod members in the show tank would congregate at the grate, almost like a discussion!
They finally felt like the mothers had calmed everything down, and the entertainer swam to the center of the pool. He was going to emerge on the nose of one of the dolphins (feels weird to call a "killer whale" a dolphin!) and be carried upward a good way.
Well... he stayed down for about 15 seconds, came up and looked around in confusion for about 2 seconds, and then began swimming a top speed for the poolside. The announce said as he swam out that, "Anytime a 2 ton predator designed for the water is exhibiting unexpected behavior, the wise trainer is dry!"
But hey, I got to see something very few people will ever see: actual pod interaction by Orca when not under the control of trainers! It is definitely something I will never forget, and I can't even tell you how many times I have seen Orca shows that happened as planned! (Probably about 3, as I grew up in FL.)