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Megaptera novaeangliae
A couple swimming together peacefully
Fairly close to shore in water at least a couple hundred feet deep
In this case I was able to identify the whale by the small dorsal fin on the rear 'hump' of the whale. This dorsal fin is known only to the humpbacks as far as I know. I wish I could help you determine which of the other species you have seen. You will have to begin looking at material regarding each of the other species. I'm sure size, colour, and colour patterns are the major determining factors.
This is a photo from 2010, but I have seen many whales in the last couple of years as well.
Interestingly enough there is a northern migration of Humpback Whales here to Costa Rica. I have seen many. Maybe we have seen the same exact individuals!