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What about arms and legs? The arms or forelimbs have been modified into flippers for swimming. The hindlimbs have become vestigial, or have been lost. Look at the right whale skeleton at the Paleontological Research Institute to see the tiny remnants of the pelvis and femur (thighbone). We think that whales evolved from ancestors of artiodactyls, the group that includes modern camels, deer and cows. The earliest whales and dolphins may have been partially aquatic, moving in and out of the water, but not fully committed to life at sea. The fluke that powers whale swimming is a modification of the tail region of these mammals and may be critical to their eventual life as obligate but agile swimmers. Paleontologists have fossils of intermediate forms of whales, with teeth, forelimbs and hindlimbs designed for walking on land, including hooves on the toes of the hindlimbs.
Finally, there is good molecular evidence linking dolphins and whales with modern artiodactyls, like cows and deer. Mammals have been adept at solving the problems associated with living in the sky, on earth's surface, or in the oceans.
Here's some extra arguments about why dolphins are mammals. The presence of modified skin glands, or mammary glands, that are used to provide nourishment to newborn animals is a hallmark of the mammals. Whales or dolphins have these glands and are able to provide milk to their babies. Unlike reptiles and birds, mammals are born alive, and do not hatch from a typical egg. A complex set of teeth comprise yet another characteristic that sets mammals apart from most other vertebrate animals. Another common characteristic of most mammals is a coat of hair.
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