Far to the east of the island you can visit the modern Whale Museum in Caniçal.
Here you can learn about the (quite short) history of whaling in Madeira and about whales and other marine animals in general in a vivid way and without glorifying. With the help of various didactic methods and an audio guide, you are guided through the museum and can receive the information in 4 different languages (Portuguese, English, German and French).
The entrance fee is not cheap, but it supports scientific research and education in addition to the entrance of the museum. However, there is also a 50% discount on every 3rd Saturday of the month.
Costs: 10 EUR