Loro Parque is in Puerto de la Cruz, about 120Km from Playa de Las Americas, via Santa Cruz, the capital. It's costly, not much change from 100€ for family of four to get in, plus food, drinks etc. Usual theme park prices! It's German owned, spotless and very well managed. Hire a car and make a day or it - it's a long way - and maybe stop off in Santa Cruz for great shopping. Still no whale show - I took the kids last week and was disappointed again. The Siam Parque at Playa de Las Americas shows no signs of opening yet - it's still in the early stages of construction.
If you're taking kids and they hate car journeys go to the Jungle Park/Parque Aguilas which is located about just above Los Cristianos. OK, no dolphins there, but a great park for kids and adults and it has a fun assault course and bobsleigh ride too. Amazing open air birds of prey shows.
Smaller parks: don't forget Monkey Park (near Los Cristianos), a small private zoo with more than monkeys, and a different experience from the bigger parks, but you get to touch, feed and walk among the animals un-escorted. Also interesting, if not a bit odd, is the Ostrich Farm, on the back road between the airport and San Isidro, at Atogo. There is a bar and restaurant too where you can eat the meat too. You can feed the birds and walk around the park - it's FREE. Interesing gifts and souvenirs and very popular with Russian tourists.