There's a heron regularly feeds on the salt marsh in front of the leisure centre as the tide comes in - especially on an evening tide, so if this weather holds this evening will be great for photographing it.
There are also several Little Egrets living and feeding in the same area - they're like herons but smaller, and bright white. I have some pictures of them that I'll try and get round to posting later.
I've seen the heron flying inland around Cleethorpes and Humberston too - probably looking for fishponds in gardens when the tides not right!
Just added an album to the wildlife group with a few pictures, it sounds like you saw a Little Egret, they are beautiful, and used to be very rare but now they live here.
I remember, back in the 90s, when I was volunteering for the council's countryside ranger service, the RSPB had organised a birdwatching fair down at Anthony's Bank, which happened to coincide with a single Little Egret appearing down there a few days before. Instead of the hundred or so people that would normally turn up at a birding fair there, thousands of birdwatchers from all over the country turned up to see the Little Egret!
I do apologise for my silly name on here, by the way, the site is so popular that every name I could think of was already taken so I went for something I knew nobody would have tried :)