Breathing air can give an animal oxygen at a higher rate than extracting it from the water. More oxygen can mean more energy to power a bigger brain, suitable for sophisticated sensors like sonar.
Mammals went into the ocean because there are lots of tasty fish in the ocean. Until humans got the idea to use tools to collect the fish, fish lovers from bears to whales have gone into the water to get the tasty fish.
The same concept of animals changing any environment. Their ancestors lived somewhere then got pushed out when they couldn’t get their own resources.
Animal A lives on land and eats plants and small animals. Animal B comes along and is better at finding plants and hunting small animals. Animal A’s population is starving. They must go somewhere else for food. They start moving towards water the following generations are decent swimmers and can pick up shallow fish. They don’t have to compete for resources now. Their decendents get better and better at swimming and eating small fish. Maybe other animals start moving towards the beaches. Animal A’s decendents start adapting to get even better at swimming and hunting small fish. As they swim more, the ones with mutations that make them able to swim farther and longer survive better and thus live longer and reproduce more. Over literally millions of years of decendents adapting more to water m. Legs become useless since they spend their time in the water, so they develop towards what will eventually be a tail. Blowholes allow them to only have to resurface so often meaning they can submerge and find food easier. This happens over and over over the course of millions of years until eventually you have dolphins or whales or whatever came first.
Natural selection is one big competition of finding resources so you can survive longer and reproduce more. They were unable to thrive on land and this moved towards water and their ancestors adapted so they’d better compete in water and reproduce more.
The closest land relative of dolphins is the hippopotamus. It’s a giant cow-like animal that eats plants (mostly grass) at night and sleeps in shallow water during the day.
Sleeping in water seems to be mainly an adaptation for living in extremely hot environments: it’s a way of keeping cool despite the hippo’s bulk. (A side benefit is that it helps protect the hippo from parasites and predators while it sleeps.)
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