Dolphins and whales have voices, but it's a lot different from most other mammals. The limited visibility under water made sounds and hearing very important for them. The sounds of the whales are not produced with their mouth/beak but only inside their blow-hole. They also use frequencies that reach far beyond our hearing capabilities. Of course they can also hear these higher frequencies.
Just as we, whales use sound to communicate. Large whales can communicate over very large distances (several hundred kilometers!) using very low frequencies. Dolphins usually use higher frequencies which limits the distance.
Tooth whales use sound not only to communicate, but also to "see". Similar to bats they send out sounds and listen to the echo that comes back from objects (like fish or rocks). This kind of SONAR (SOund NAvigation Ranging) works very well. Even in complete darkness they can find their way through the ocean and also find their food.
When you listen to the sounds you will usually hear two kinds of sounds.
One that sounds like whistling (high pitched sounds) and one that sounds
like a rattle or clicking. In general the whistles are for communication
and the clicks is the SONAR.