I think whale eating is more an Icelandic thing.
Anyway, we only spent four days in Helsinki so I can't be quite sure how much there is to "do" there, it's just an amazing place to be. It's incredibly international. The staff in Nordstrom (department store) had name badges with flags for each language they spoke, some had four or five. The first morning we were there we sat in an Italian Cafe run by two German brothers having a conversation with a Dutch lady about how travels to somewhere else in Europe, all in one spot in Finland! Also the people are super whacky there, if you wanted to stand out you'd have to try seriously had. Then there's all the stunning architecture. The whole city has a vibe, not 'arty' but certainly creative. You can feel the viking/medieval-ness in the stone buildings too.
It's my favourite place I've been because it largely appealed to all of my tastes at once.