A bubble ring, or ring bubble, is an underwater ring vortex where an air bubble occupies the core of the vortex, forming a ring shape. The ring of air as well as the nearby water spins poloidally as it travels through the water, much like a flexible bracelet might spin when it is rolled on to a person's arm. The faster the bubble ring spins, the more stable it becomes. Bubble rings and smoke rings are both examples of vortex rings, the physics of which is still under active study in fluid dynamics.
Source ~ Wikipedia

Ocean mammals known as Cetaceans, such as beluga whales and dolphins also blow bubble rings. Dolphins will sometimes engage in complex play behaviors, creating bubble rings on purpose, seemingly for amusement. The dolphin will often examine its creation visually and with sonar. They also appear to enjoy biting the vortex-rings they've created, so that they burst into many separate normal bubbles and then rise quickly to the surface. It is quite entertaining to watch this form of play and amusement with the dolphins.

So how do the dolphins make those bubble rings that seem to defy the laws of physics? Dolphins are able to create and control the movement of the rings by controlling the movement of the water around their own bodies. The dolphins will first create the whirling vortex of water with their body motion, and then blow a huge bubble of air so that the water vortex pushes through the center and traps a ring of bubbles around it's edges. The dolphins then continue to manipulate and control the water and therefore control the bubble rings.

Scientists then think that the dolphins "see" the bubble rings by using their sonar much like how humans see shafts of light. Because it is known that some of the brain structures of toothed whales and dolphins are arranged in such a way that what they "hear" might be easily processed in the same parts that process what they see, it is not surprising to understand that at least some of them actually create mental pictures of what they detect with their sonar.

The video below shows some dolphins actually creating the bubbles and playing with them. It is fun to watch and absolutely amazing to think about.