On my photo days, I try to sit close to dead center, about twelve rows up at most of the shows. That's usually (but not always, in the case of Shamu Stadium) out of splash range.
At Shamu Stadium, I sit in the lower bowl, center section... near where they have their video camera set up. For photos, I tend to sit close to the top of the section (about three or four rows from the railing) and slightly to the left (just slightly). A shallow angle makes for a nice blue background when catching the killer whales leaping on the right side of the tank. It's also far enough away that unless they have Tillikum (that's their largest animal, who they use primarily for splashing during the shows) do a lobtail right at the center, you won't get wet. (The trick here is to keep an eye on the Sea World videographer behind their camera in this section. If you see him cover up his camera and move off, you can assume he's been notified that water is coming your way. I use a 70-300mm lens to shoot from a distance and get close cropped shots.
If you're looking primarily splash factor, sit anywhere within the first ten rows at Shamu Stadium. The left & right sides of the stadium get particularly soaked.
At Whale & Dolphin Theater, I try to sit dead center or slightly right of dead center, making sure to keep the support poles in the stadium out of view (nothing's worse than coming home to find out you've got a large white pole running through the middle of your amazing dolphin shot). I keep slightly right of center to preserve the background of the swirly blue set. I tend to use my 28-70mm zoom lens for this show, as the action is closer. I try to keep myself about twelve rows up or so, making myself 'eye-level' with the dolphins at the pinnacle of their leap. Basically, make yourself just about at the level of the pink 'window' that rises up out of the set.
For splashing, try the first couple rows. The dolphins don't splash too far into the stadium, but the false killer whales (those are the long, thin black animals... they don't actually tell you about them anymore in the new show, which is completely lacking in educational content) can raise quite a bit of water when they put their minds to it.
At Sealion & Otter Theater, I don't take many photos.. as much as I love the show, I think the sets and costumes are too corny to make good photos. But your mileage may vary and I imagine you'd probably want to sit just above 'water-level', near the center. Splashing isn't as much of an issue here, just the first row or two may get a little wet.
I've never tried to photograph Odyssea, but it's a no-flash-photography show.. so unless you have a super fast lens, you probably won't get many photos anyway. I sit anywhere in this show, but I rarely go to it so I don't know what to recommend as far as the best spot.
Also never tried to shoot Pets Ahoy, it's another indoor show and I believe they ask for no flash photos in there too. I sit where ever I can find a seat (sometimes it gets crowded if you aren't there as soon as the doors open)
Good luck! =)