Harlequin Ducks breed along fast-moving rivers in the far northwest and northeastern Canada. In the winter, they migrate to the Atlantic and Pacific coasts, where they seek out rocky coastlines. In the southern parts of their winter range, where the beaches are sandy, they are often found along jetties and seawalls.
Handfuls of Harlequin Ducks are present all along the northeastern U.S. coast, but one of the best places to watch them is along the jetty at Barnegat Light in New Jersey. This is a consistently great spot for two reasons. First, it attracts a large flock; when I was at the jetty two weeks ago, I counted about 15, but there are often more than that. Second, you can walk out along the jetty (at your own risk!) and see them at very close range.
They bob up and down on the waves, staying in close proximity to the jetty even as the waves crash against it. The ducks dive to feed on a variety of invertebrates such as crustaceans and mollusks, which they pick off the rocks underwater.