A North Atlantic population of Gray Whales once inhabited the shallows of Europe (including the Mediterranean) and Iceland (where it was described as a "sand-lier") and the east coast of North America.
Once. Before its extinction. (It's the Introduction of Richard Ellis's excellent, if depressing, "The Empty Ocean.")
In the Pacific Ocean, Gray Whales were thought to have numbered around 26,000 (and rising) early last decade.
Now, it appears that (at least) one of those animals is testing not just Atlantic waters, but the waters of the eastern Mediterranean! It's been confirmed. (And everybody wants a piece of the action.)
This strikes me as one of those stories that will take some time to sort out, although we might never know the answers to key questions. Is it a lone individual (it's kind of a species of loners)? What path did this one take from the Pacific, which is almost certainly what happened, since Gray Whales have been gone from the Atlantic for hundreds of years? How does a 10-15 meter-long, coast-loving cetacean get so far without anybody noticing? And of course, will others follow?
Darren Naish at Tetrapod Zoology has a great post on the Gray Whale's history and some of his own questions on this animal's appearing trick.