Interesting concept rather :) as for ideas, perhaps try using the magnetic lasso tool, and add just a tiny bit of feathering to the edges so the edge line isn't so stark and pixelated.
I'm not sure what the resolution comparison is between the dolphins is, but if you could get similar resolution between the pictures it would also help with clarity.

Which version of 'Shop' are ya using?

I really do like the idea, just perhaps a different combo of pictures as the trees and sky is relatively low contrast in comparison to the aquatic shot which is higher contrast and a bit more colorful in the aqua/teal range while the trees and sky are more on the blue spectrum, and dark greens. I'd suggest to pair the photos differently. Photo's with complementary colors would make the composition more cohesive.

Photoshop is fun, just play with it :)

Acutally, it's the GIMP 2.somesuchnumber.

Ahhherk. My knowledge with that program is limited to , uhhh duh, nada.