Just like humans, dolphins and parrots give names to individuals. These are the only three species (we know of) that do this.
Scientists think this ability is related to the intensely social lives of all three of these creatures. In the case of parrots, whose flocks often split up and join with other groups, having one’s own name and being able to imitate the names of other birds could be a helpful tool when forming new flocks.
Source: Baby Parrots Learn Their Names From Their Parents, Discover Magazine