The simple answer:
1. Marine mammals have a FAR GREATER oxygen storage capacity, in terms of oxygen per unit body mass, mostly due to higher blood volume per unit body mass, and higher oxygen storage in their muscles (in the form of myoglobin). Their muscles have ten times more myoglobin than humans.
2. Far more streamlined body shape allows for effortless movement through the water. Humans have a non-streamlined shape which makes swimming full of effort, wasting oxygen.
3. Marine mammals are nearly neutrally buoyant, reducing the effort to get down.
4. The blood vessels in their eustachian tubes swell with blood, meaning they don't need to equalize their ears.
5. They have a profound oxygen conserving diving reflex once they start the dive. Their heart rate slows dramatically, and blood is shifted away from non-essential muscles & organs, reducing the oxygen consumption of non-essential functions. For example, blood flow to the stomach is completely stopped during a dive. In a human, the stomach will continue digesting and burning oxygen during a dive (although the effect is diminished in expert divers).
6. The deepest diving mammals exhale before they dive, so they don't bring down too much nitrogen, and thus avoid decompression sickness and narcosis.
7. Marine mammals can withstand far greater amounts of CO2, and far lower levels of oxygen. At the level of oxygen which would cause unconsciousness in a human, a marine mammal's brain is still working fine, with clear thinking and quick reflexes.
