Dolphins are mammals as they breathe oxygen through a blowhole on the top of their heads. When the dolphin is at the surface, the blowhole opens, allowing seawater and respiratory gases out and oxygen back in. In this way, dolphins aren't dissimilar to humans. However, no human could possible withstand the depths that a dolphin can reach, nor could a human hold his breath for as long as a dolphin. The key difference is the dolphin's efficient gas exchange.
The heart and lungs of the dolphin allow oxygen into the blood and remove carbon dioxide waste. Alveoli cause the gas exchange by giving the lungs a larger surface area through the use of capillaries. The gases are then exchanged via diffusion from a high concentration to a lower concentration. The alveoli allow oxygen to diffuse from the air into the blood, and vice versa, for carbon dioxide. Though dolphins' lungs aren't much bigger than our own, they have far more alveoli than humans' and two layers of capillaries instead of just one
Dolphins exchange gases at a higher rate than humans. This higher rate is so efficient that dolphins can usually exchange 85 percent of the air, whereas humans typically can only exchange 15 percent. Additionally, the red blood cells in dolphins are larger than those of humans and have a higher quantity per unit of blood. This has allowed for a faster rate of distribution of oxygen to the rest of the body. The myoglobin in dolphins also has much higher oxygen content. When a dolphin dives, oxygen to the major organs is limited. The dolphin's muscles use the oxygen in the myglobin instead. When that oxygen runs out, a dolphin's muscles can work anaerobically, building up lactic acid. Dolphins have a higher tolerance for both lactic acid and carbon dioxide.