The bones of their fins, which resemble the limbs of land mammals
The vertical movement of their spines, characteristic more of a running mammal than of the horizontal movement of fish.
The question of how land animals evolved into ocean-going leviathans was a mystery until recent discoveries in Pakistan revealed several stages in the transition of cetaceans from land to sea.
↑Thewissen J.G M. & Williams E.M. (2002). "The early radiations of Cetacea (Mammalia): evolutionary pattern and developmental correlations". Annual Review of Ecology and Systematics. 33 (1): 73–90. doi:10.1146/annurev.ecolsys.33.020602.095426.