From the Super Mario Wiki, the Mario encyclopedia
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Super Mario series
Super Mario Bros. 2
Whales appeared in World 4-2 of Super Mario Bros. 2. Players can hop on their backs and gain elevation by standing on their blow holes as water sprays out. The water will hurt the player if they touch it from either side but a Super Star can be used to destroy the spout. Pink (blue in remakes) Snifits and Shyguys patrol the backs of some whales. There is also one whale which has grass growing on its back. In the NES version, they are black with red eyelids, but in the SNES version and other subsequent remakes, they are purple.
Super Mario Land 2: 6 Golden Coins
The Super Mario Bros. Super Show!
A whale briefly appears towards the end of The Super Mario Bros. Super Show! episode "Mario of the Deep". Here, King Neptune rides on the whale, and uses it to body slam his temple, which Barra-Koopa has taken over, along with the rest of Aqua Land. After slamming into the wall several times, the whale causes a piece of it to shatter away, which Mario, Luigi, Princess Toadstool and Toad are able to pass through. This whale appears to be a blue whale rather than the variety of whale from Super Mario Bros. 2.
A whale has made an appearance in volume 8 of Super Mario-Kun. Toad and Birdo ride on a whale that crashes through the sky literally. It flattens the Fryguy that is fighting Mario, Luigi, and Yoshi. The whale then takes Mario, Luigi, and Yoshi to a castle in the sky.
Paper Mario series
Paper Mario: The Origami King
WarioWare, Inc.: Mega Microgame$!
Donkey Kong Country series
Donkey Kong Country Returns
In Donkey Kong Country Returns and Donkey Kong Country Returns 3D, whales appear in the level Poppin' Planks, where a whale jumps out of the water when a switch is activated and sends bananas out of its blowhole that disappear after an amount of time. Whales also appear in the level Blowhole Bound, where the player(s) can ride on the whales. After freeing a whale from an anchor, the player(s) can ride on its back to cross the water along the shore of the islands. The whales are not very steady and often tilt along the water, allowing the player(s) to grab some collectibles hidden out of reach. The whales sometimes head underwater as well, where the player(s) cannot swim, so the player(s) have to jump on floating ship parts to progress. These ship parts are often destroyed by the whales. By hand-slapping the whales' blowhole, the player(s) can force the whale to send water out that they can use to reach pickups in higher areas. The whales in the game look similar to a sperm whale.
Donkey Kong Country: Tropical Freeze
Whales, possibly of the same species as those that have appeared in the previous game, also live in Sea Breeze Cove from Donkey Kong Country: Tropical Freeze. This is evidenced by their silhouetted presence in the background of Amiss Abyss. However, they are only for aesthetic purposes, and cannot interact with the player.
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