Photographing sea life from a moving boat is always challenging. My preferred approach is to use Shutter Priority with a setting of about 1/500 to 1/1000 with an ISO of 200 to 400. The high shutter speed will help freeze the image while the higher than necessary ISO ensures that the Aperture can stay in the 7.1 to 11 range. The biggest challenge is actually the focusing because the constantly moving horizon can cause the autofocus to hit the waves rather than the subject. Back button focus and manual focus can help significantly.
Iceland is a photographer’s dream location with spectacular settings and wonderful lighting. You can see a small collection from my recent trip in the Iceland section of my website. I have also published the photographs to my Flickr Photostream.