In Chapter 8 of the novel, Margo urges Quentin to break into SeaWorld with her. Margo has made a list of 11 things she wants to do and enlists Quentin's help, and part of that list, the last part actually, is breaking into SeaWorld. This whole chapter is dedicated to the adventure. Margo used satellite maps to fugure out how to sneak into the park. As they are sneaking in, Once they are in, they go about doing what they want and that is when they end up in the seal tank. Margo, wanting to make up for how she rejected Quentin in the sixth grade ballroom dancing class, dances with him to some music that is coming out of the speakers. 

This location is vital because this is techincally one of the last memories Quentin has with Margo before she disappears. He sees her as an enigma and when she danced with him, he got the idea that maybe his feelings for her are reciprocated. 

"I could see the big amphitheater where Shamu splashed me as a kid ... 'Margo,' I said, 'We're in SeaWorld.'"