The topic of captive dolphin swim businesses is often the subject of controversy, with opinions ranging from "picket the dolphinariums til they shut down" to "It's Mexico, it's fun and good for the local economy; do it and find out for yourself".
What you do is ultimately your decision. The dolphin swim businesses are perfectly legal at this point in time, and, of course, any successful business does create jobs for local residents. I would, however, encourage anyone who is thinking of patronizing one of these businesses to consider as many aspects of the industry as you can prior to deciding whether or not to proceed in participating in a "dolphin swim".
If you are interested in reading about the dolphin trade/dolphin captivity issue, here are a few links (there are a LOT more sites on the web) whereby a person can begin to become familiar with the dolphin captivity industry and the effects that it has on these marvelous creatures:
» WDCS: Bottlenose Dolphins in Captivity
» "The Solomon Islands Dolphins: The Myth of "Good" Marine Parks
The sad irony here is that what draws most people to the dolphin experience type businesses is usually a love for the animals, however by paying the price of admission, you might be contributing toward the success of an industry that you may find to be completely disgusting.
Case in point -- a couple of years ago, a friend of ours took a long awaited trip to Cancun with her daughter. We were really excited and happy for her as she had been planning the trip for months, and it was the first time for either her or her daughter to visit Mexico or the Caribbean.
Upon her return, she shared with us the details of her trip, complete with pictures. What great fun it was to hear her stories and see the pictures, but when she showed pictures of her and her daughter swimming with dolphins at one of the Cancun dolphinariums, our exuberance subsided. We did not say anything, and tried to view them politely, but our friend sensed that something was wrong. Nothing was said about the matter, and the mood changed back to one of joy as the discussion moved away from the dolphin issue.
A few months later she approached me, saying that she now knew why my wife and I grew silent and uneasy that evening. She tearfully explained that she had stumbled onto an article about dolphins dying aboard ships in transit to a similar place to that she and her daughter had visited. Upon reading that article, she felt compelled to do some more research, and learned more about the whole sinister business. Imagine the feeling of shock, betrayal, and shame as she realized that her money, which she had spent because of her love of dolphins, had actually contributed to the demise of the very creatures that she loved so much.
Had she known of this prior to the trip, there is no way that she would have spent one cent of her money in such an establishment.
Whether or not to participate in this type of activity is up to you. "Swimming with Dolphins" is heavily marketed to people visiting Mexican Caribbean destinations, and many people have not been exposed to the other side of the equation. I just want to present this side of the issue to those who might be considering engaging in this activity. However you decide to proceed, I hope that you have a wonderful time on your vacation.