If rumors of the Ukranian navy's weaponized dolphins remind you of Dr. Evil and his "frickin' sharks with frickin' laser beams attached to their frickin' heads," you're not too far off, but you should still take them a little more seriously. It sounds like a plot straight from the Austin Powers trilogy, but these dolphins are actually undergoing navy training, though not with laser beams.
The main tactics that these intelligent sea mammals will be employed for are locating underwater mines and tagging them with buoys, but according to Wired there are also rumors of mounting weapons on their heads to use in combat. Dolphins are already pretty deadly as it is (when they want to be), so this last part seems like a bit of a stretch.
Other navies have used dolphins in the field before — even the U.S. Navy has used them to find mines — but none have mounted pistols and knives on their heads in the hopes of making them more lethal. That's exactly what the scientists at Sevastopol's state oceanarium hope to accomplish, according to Ria Novosti. Others might not have gone to this extreme, but there were reportedly even cases of mounting dolphins with CO2-filled syringes. Those dolphins were being trained explicitly to kill humans, so needless to say the knife-and-pistol technique isn't the first of its kind, but it's certainly not a common tactic.
There are plenty of potential risks, even outside the possibility of harming one of the dolphins (which is definitely a strong possibility). Dolphins mounted with weapons could become a threat to one's own side, since the animals can't differentiate between sides in a battle.