To second what @Ine said, it is illegal to deliberately interact with the humpbacks and grays in the popular locations like Cabo, Puerto Vallarta and the Hawaiian islands. If the whales come to you and check you and the boat out (which they can do), that is one thing, but deliberately getting closer than a specified distance (I believe it is 100 feet), is against the law.
There is the option to snorkel in the area of a different breed of whale in the Gulf of California, but that is a different situation.