I, Casper, am a tad scared of dolphins, but this one looks cute enough to knit. The mermaids are absolutely gorgeous (and it's good to finally see some diversity on a King Cole pattern), and the different shiny yarns used bring a touch of ocean magic to them.
This pattern has been written in various double knit yarns - listed are Dollymix DK, Shine DK, Glitz DK and Pricewise DK. You use what works for you, though, as long as it matches gauge!
You'll also need safety eyes for the dolphin, 3.25mm needles, a 3.5mm crochet hook for attaching the mermaid's hair, and toy stuffing.