Dolphins are very good at making sounds and have a wide range of vocalizations. Yes, you can try to make the Hitchhiker's jokes true by creating a language centred around their dancing in and out of water, but it would be probably much easier to create a language based on their vocalizations. The ad with Megan Fox above, while intended to be amusing and entertaining, is very close to what I consider to be the right approach to communicating with dolphins. At least conceptually.
Due to their lack of arms and hands, it would be as difficult to adapt our sign language for them as it would be to adapt our spoken one – neither our vocal apparatus, nor our limbs have a lot in common. I'm not saying we should not explore the option, but I wouldn't say it's the best one.
There's one thought that keeps me excited, though. Unfortunately, this is very unlikely, but there's still a tiny chance that they already have a rudimentary but non-trivial language that they use between each other that we have been unable to decode or notice due to the inherent differences between us.
There have been instances of dolphins seemingly able to communicate complex thoughts between each other. There are simpler explanations for this, of course, but the thought that the dolphin from the OP could have "talked" to other dolphins about humans to figure out these:
In my opinion the dolphin
1) was aware that the line was human-made
2) knew he (or she, rather, I think. The video is a bit dark) couldn't get it off alone
3) realized that removing a man-made thing might require fingers (and the human attached to them)
and consequently approached a human.
is mind-bendingly fascinating to me. I could at least dream about it.