Maz, I suggest that you read up on the concept of clades. Yes, deer and whales do have a common ancestor if you go back far enough. We do have a fairly good string of fossil life from pakicetus to the modern whale. With the blowhole we can see it when it has migrated half way back to its current position. Would you like to see them?
More wolf like than deer though, another was like a big rodent.