If you want dolphins but don't want to go to a theme park to see them, head for a coast. You can see dolphins do their thing at Clearwater Marine Aquarium in Clearwater, or at Mote Marine Research Center in Sarasota, though as both of these facilities are research and rescue aquariums, the interactions and displays are low-key. You can also see wild dolphins quite often at the channelside restaurants near Daytona and Cape Canaveral; they follow the fishing boats. If you want more interactive encounters, your best bet is to trek up to St. Augustine to go to Marineland (but they don't do the major acrobatic shows anymore; those are now considered inhumane.)
As for other things to do in Orlando proper, one of my favorite recommendations is the Morse Museum; it is one of the premier collections of stained glass art anywhere in the world.