We just got back from the Swan, and had been upgraded to a balcony room. We loved it! Had coffee each am watching sun come up over boardwalk. That's is the spot for me!
Yes, some of the rooms have balconies. I was lucky enough to get a free upgrade to a balcony room at the Swan that had a perfect view of Illuminations.
The two times we stayed at the Dolphin we were not upgraded to a balcony room, but were told a balcony was an option for $35 more per day. Not worth it to us for the very little time we spend in the room, but I'm sure we'd enjoy a free upgrade!