Verified answer

Marine mammals have horizontal tails because of their spines. Their land-dwelling ancestors had evolved legs and the spine to fit that type of locomotion. So it's natural that their tails evolved for up and down motion. Try this sometime in a pool, you can swim better when you kick with your feet together up and down rather than wiggling side-to-side.

The ancestors of fishes never left the water so they've retained the skeletal system with a spine in the middle, a side to side movement is more efficient with that arrangement.

ETA: I answered this since Châteauguy is apparently off-duty. :)

It is due to the fact that all marine mammals are evolved from quadruped land mammals. The horizontal orientation of the spine is the most efficient when you are running on four legs and it has been retained in marine mammals.

The ancestors of fish were legless and moved by slithering on the ocean bottom. Side to side motion is more efficient in the mud if you don't have legs. This orientation is equally as efficient for swimming and has been retained in modern fishes since there is no survival advantage to make such a major modification in body form advantageous.