From Nature:
We are not the only animals to give ourselves names, says research on bottlenose dolphins. The dolphins’ distinctive whistles may function as individual calling cards, allowing them to recognize each other and even refer to others by name. The research reveals that bottlenose dolphins (Tursiops truncatus) each have their own personalized whistle, which is recognized by other dolphins even from a synthetic version played through a speaker. This suggests that the creatures recognize these as names in their own right, rather than identifying individuals based simply on the sound quality of their voice.
The dolphins have also been heard using each others’ names in their ‘conversation’ — meaning that they may be able to call their comrades during social interactions. The calls may be used to bind groups together in the wild where individuals cannot always see each other, or to coordinate their delicately complex hunting manoeuvres.
More here.