This video is of dolphins playing with rings they compose out of their own breath. It isn't known how they learn this, or if they're born with the ability. It's a lot like McQing, the talent among males in my family to demonstrate excellence in reasoning with or without possession of actual knowledge.
One, ahem, explanation involves "air-core vortex rings." With the tip of its dorsal fin when it is moving rapidly and turning, a dolphin creates invisible, spinning vortexes in the water. The higher velocity fluid around the core of the vortex is at a lower pressure than the fluid circulating farther away. Dolphins take advantage of this difference in pressure and inject air into the rings through their blow hole. The energy of the water vortex is enough to keep the bubbles from rising for a few seconds of play time.
But the main thing is that creating rings of air to play with is a lot more fun than simple transparency.