Selwo Marina is the dolphinarium-cum-mini-zoo near Puerto Marina. It has dolphin and sea lion shows, a small penguin enclosure, and a few South American animals (sloths, agoutis, capybaras, exotic birds). Aimed squarely at families with young children.
It is more compact and less impressive than the full Selwo Aventura further west near Estepona, and the dolphin shows are not to everyone's taste. If you have small kids in tow and a wet afternoon to fill, it does the job. Otherwise the free animals of Parque de la Paloma are more rewarding.