I have snorkeled with whale sharks in the Sea of Cortez, and I can attest to it being a truly amazing experience. We were out of La Paz, Baja Sur, with Baja Expeditions on a live-aboard that specifically runs whale shark trips in April each year. We were lucky enough to be in the water with them on 5 different occasions on that trip, and nothing in my diving experience can quite equate to hanging in the water and watching a 35-40 foot shark appear out of the plankton murk, then swimming down to eye level and pacing it till I ran out of breath. I still get breathless just writing about it now 3 years later.