There are a lot of whales to look out for which migrates from North Atlantic to the waters of the Virgin Islands. This usually happens between months of December to March.
The most popular whale to see is the humpback whale. This is also one reason why one of the most in demand activities to do in the island is to join whale watching excursions made by various environmental travelling groups. These tours are on high peak during February all the way to March.
Photos via http://web.me.com/uromastyx.studio/Radsurfing(new)/about_Encinitas.html and http://www.treehugger.com/2008/07/13-week/