Went whale watching with Espaco Talassa based in Lajes on Pico. They picked us up in the harbour at Horta, so this was a very convenient way of getting over to Pico (took about an hour). We saw pilot whales and various dolphins. Well worth while! Then we walked up to the vigia (the whale-spotters lookout tower) and had a look through their binoculars.
Camped in the Lajes campsite, which is free, very nice (but watch out for the ants which will get into the smallest hole in your tent), and the guys who run it are very friendly.