Very nice! Shading is very realistic, as are the forms themselves. The dolphin looks very cute
The shark is animated very nicely, too - quite scary!
Actually, one thing I was thinking about - do undersea creatures need shadows? I made my first non-upright undersea creature today, and left it without, since, I dunno, it seemed kind of strange with a shadow, but I am not sure...
(Doesn't help that my icon is nearly black, so that a shadow would completely obscure the picture... but your shadows look fine with your icons)