Dolphin Air Rings. Dolphins actually can make toys for themselves. They would blow a round ring of air through their blowholes and then play with it by pushing it around and swimming through it.
For long seconds the dolphin regards its creation, from varying aspects and angles, with its vision and sonar. Seemingly making a judgment, the dolphin then quickly pulls a small silver doughnut from the larger structure, which collapses into small bubbles. She then 'pushes' the doughnut, which stays just inches ahead of her rostrum, perhaps 20 feet over a period of up to 10 seconds. Then, stopping again, she regards the twisting ring for a last time and bites it--causing it to collapse into a thousand tiny bubbles which head--as they should--for the water's surface. After a few moments of reflection, she creates another."
Link (via DeepFun)
See also: "Aliya" the whale bubble video: Link