This is about a year out of date, but scientists did find that dolphins used different series of whistles to identify each other.

http://www.livescience.com/animalworld/060508_dolphin_names.html
Apparently chimps still rely on identifying voices rather than name alone. Dolphins, on the other hand can recognize names even from a speech synthesizer. Scientists claim that dolphins choose their own names as infants (instinct or culture?)
Linguists are constantly asked about animal language, but this has been the most exciting evidence of I’ve seen for a complex communication system in another species. Chimp two word signing hasn’t been nearly as exciting (sigh).

Language Geek Notes

1 – Dolphin phonology is apparently based on the whistle (not surprising), but no human language is (even though imitating whistles/bird calls is a reasonably common skill)