The Dolphin King is the last of a race of most likely dolphins that ruled over the ocean before the Bikini Bottomites. He is most likely a messenger to warn Bikini Bottomites about volcanic eruptions and how to avoid them. His race was all killed except for him because of a volcano that also plagued modern day Bikini Bottom in "Sponge-Cano" and survived because he sacrificed the most miserable man's house. In "Sponge-Cano," he was trying to tell the people to sacrifice the house of Squidward but someone interrupted him before he could say "house." Later, when Squidward's house was lodged in the volcano, he continued what he was going to say, flew off on his broom and was never seen again.
As opposed to his species (and the whole dolphin family plus the cetacean order), he is never seen resurfacing to breathe.
He is, however, a warrior, so he may never need to resurface to breathe.
He is the first animated dolphin to appear in an episode, as others were real like in "Jellyfish Jam."
"No hoho, you didn't let me finish." -
"A sacrifice of the most miserable persons house!" - Explaining to the crowd how they are to sacrifice a house not a person.
"A sacrifice of the most miserable person...(interrupted by the bottomites.)"