The dolphins look very well cared for. When we were there one of the dolphins had bumped his nose or something so at the end while all the others were playing he was at the side being tended to by his trainer. It was touching to see the strength of bond and trust between human and animal.
Can recommend the show, definitely. (They've also got a group of guys that do high dives into the pool during the show!)
I saw the Dolphin show a few years ago and thought it was very good. But have since watched a documentary called The Cove, it is about the selling of the Dolphins for the entertainment industry and the slaughter of the ones that where not sold. It is one of the saddest things i have ever seen.