If you looked at a dolphin and didn’t know any better, you’d think it was a fish. They are not. Dolphins cannot breathe in water using gills as fish can, do not have scales, and are not cold-blooded.
Dolphins are mammals that returned to the sea millions of years ago. Being a mammal means that:
they breathe air (and do not have gills like fish);
they are warm-blooded and generate their own heat;
they give birth to live young (and do not lay eggs);
they nurse their young with milk using mammary glands;
and have hair (hair?! - read on)
Hair? Ancient dolphins probably had fur, but when you spend all your time in the water, fur does not keep you warm.
Dolphins lost their hair and evolved a layer of fat to keep warm instead. They still have hair follicles around their rostrum (beak or face area), but the actual hairs are no longer there.
Even though they don’t have hair any more, scientists haven’t kicked them out of the ‘mammal’ club.