Whales are immense, oceanaic creatures, including the largest creatures in existence. For factual information about real-world whales, consult Wikipedia.
In D&D, whales serve a more fantastic role: they are mostly highly intelligent, rivaling and even surpassing the "civilized folk" in brilliance. They consider the ocean to be their domain, and nurture it and protect it as a responsible farmer might. For game purposes, category also includes dolphins, porpoises, dugongs, and other aquatic, air-breathing mammals, though they are rather distant cousins in reality. Much of the time, these related species are also quite intelligent and capable of having complex societies and codes of honor.
Of course, there are still common whales who are more wild and bestial, more recognizable as common animals (even if they are clever ones).
Whales of various sorts range all over the oceans of the world, and up several of its larger rivers. Dolphins are perhaps the most adapatable, but baleen whales will travel long distances between the tropics and the arctics, and toothed whales migrate with the mating seasons, with wolder males tending toward colder environments.