I have seen numerous statistics on whale and dolphin brains; unfortunately these are the kinds of statistics that people get emotional about and hence tend to exaggerate. Several smart science authors I trust have repeated this general point: neuron counts in the neocortex are about ten times higher in humans than chimps, about the same in humans and bottlenosed dolphins, and some whales have up to ten times as many as humans. Of course neurons have synapses, around 5000 per in humans (increasing with age) and I haven't seen numbers on cetacean or sirenian synapse counts.
What "consciousness" is, of course, is not a question we have one solid answer to. Symbolic reasoning may be a better characteristic to consider. Those who argue against animal reasoning typically cite primate research and ignore dolphin research. Dolphins have certainly been shown to have the capability of understanding sentence structure and prepositional relations.
For me, the deeper moral issue is decided by the principle of parsimony (akin to Occam's Razor). If the preponderance of evidence suggests that whales and dolphins may be conscious, we shouldn't be murdering them. Since we can identify the neocortex as the seat of consciousness, or at least symbolic reasoning, and we can observe a rough correlation between cortical complexity and behavioral complexity, I think it's rather obvious that we should look before we leap/kill for the two classes of animals with neocortices similar in complexity to humans: dolphins and whales.