We enjoyed the dolphin program in Nassau, though it's not something I'd choose to repeat on every cruise -- I would probably do it again when my girls are teens since they'd see it differently at that point. My 6-year old was frightened by the dolphins (so was another girl her age); however, she is on the timid side.
The boat ride to and from Blue Lagoon was very unpleasant. We were the last ones to board on the way over, and we didn't get seats -- we had to stand for the whole 45 minute ride. On the way back we were inundated with smokers.
Do get the first time slot for the dolphin encounter and plan to stay on Blue Lagoon island for a while after the program. It's beautiful, and you'll enjoy it! You do not need to pay for a second excursion -- you'll already be there.