Well, as we're swapping dolphin stories, I have a whale of a tale...
Back in late '07 I spent a few months in Queensland, Australia. One day I was sailing off Kurrawa beach (Gold Coast); it was blowing a good sideshore 20+ knots and I was about 1 km from shore, blasting out into the beautiful pacific ocean with my 5.7, when, about 100m in front of me, a huge
Killer Whale breached the surface! A big, shiny black and white monster! SO I decided I was out of my league and immediately gybed - and fell in the water. (My gybing skills were nearly nonexistent back then). I scrambed back onto the board and uphauled (also no waterstart skills back then) in record time and sped back to the beach, heart pounding!
Another time, same location, it was a cold, grey, very bleak sort of day - but it was howling well over 20 knots again so I went out anyway. Again, 1 km from shore, I was heading back in, when I saw FOUR dorsal fins coming directly towards me! This caused instant, deep panic bordering on shock, as I felt for one moment that I was truly going to die, out there, all alone, on this cold grey day. It only took a few moments to realise that they were just porpoises, not sharks, but the psychological damage had been done! I felt really bad and just blasted back to shore as fast as possible and went home...

About a year later, a Great White the size of a horse was caught in the shark nets right off the same beach, so some of my paranoia was probably justified...!
Never seen a dolphin while windsurfing, though...