Scientists believe there are two main reasons for whale to make sounds: echolocation, so that whale know objects (perhaps food) are around them; and communication. Whales are capable of communicating to other whales over huge distances. Sound waves travel faster through water and through air and the sound of a whale can travel thousands of kilometers through oceans.   

In addition to echolocation, some whales, most notably the humpback whale, are capable of producing a range of notes which appear to be a form of communication. Humpback whales in one school tend to sing virtually the same song. Perhaps like football supporters they are demonstrating group identity, showing that they belong to the same school. Other schools sing songs which are quite different. It is generally the males that sing, so they are trying to attract females. 

Many different species of whale are capable of making noises and some of them are believed to use echolocation. Some whales look for food, down to a depth of 1.5 kilometers, and at that depth there is virtually no light at all. Without being able to locate their food, the whales are going to go hungry. The whales send out series of clicks and listen out for the echo of the sound. From this, the whale is able to work out what is around it and can respond accordingly. The system is highly complex but it is similar to the way that you can tell direction of sound.