This video shows a mother dolphin mourning the death of her infant. The narration by the tour guide is very good.

If that link goes down try CNN here:

It has long been speculated that only animals capable of conceptualizing conspecifics as selves – unique individuals – who can transition from life to death would be capable of mourning. This film clip would fit with a recent article that dolphins give one another unique names.

All this is another nail in the coffin of the idea that you need human language or human culture to produce grief.