The Azores seems to be a nice destination for whale watching. Most islands seem to offer whale watching trips. Are there islands that are better whale watch destinations, or are they all around?
Wikipedia explains that in the Azores, specifically on the islands of Faial, Terceira, São Miguel and Pico is the place to go for Whale Watching.
Wikitravel backs this up, narrowing it to focus on Faial or Pico.
This matches the various Azores tourism sites, so I'd definitely target those two, and it sounds like if you like the outdoors, Pico would be the place to go for some hiking as well.
Simply judging from this azores tourism website, it seems that the most common places to start those trips from are from the Islands Pico, Sao Miguel and Failal - and seem therefore the best places to go.
Since the whales are not moving to the Azores but rather migrate through the area along with the Gulf stream to get to other destinations, I would assume that they are not only found in specific locations (as I know it from some places for Whale sharks that feed on specific coast lines) but are rather found in the open channels a bit further away from and between the islands.
Since the tours use land-based spotters (the same locations from the whaling times), they cannot be too far away from the islands though.