We did the Anguilla Dolphin Excursion in February of 2004 - and all of us still talk about it. My family - me DW, DS(13 now), DS (11 now) and DS (also 11 now), my DFIL and my DS all went and had a great day.
It is a long day - we were led from the ship to a boat that took us around the island of St Martin and made the 5 mile crossing to Anguilla, met by bus and taked to Dolphin Fantaseas (they are on 2 islands) and have there own web site. It was 1/2 day at the beach and 1/2 day in the complex with dolphins, parrots, rays and other sea creatures. The 3 dolphins were very friendly, seemed happy and in good shape.
The two downsides were 1 - lunch - if you were at the end of the line - there was not a lot of food left - they made more, but that could be a problem. The other was the handoff from bus to water shuttle was was a bit ragged, but you just need to remember that you are in the islands and everyone is working on island time and it goes well. My wife and sister ended up not shopping in St Maartin (whew!) but made up for it in St Thomas.
We would do it again in a heartbeat!
St Maartin had my other favorite excursion - the 12 metre yacht regatta - which is a blast too!