Their behavior is not just instinctive. It has been shown that many animals have learned behavior by watching other animals. For example, birds, Parus major, learned how to steal milk from milk bottles by pecking through the foil cover, and scientists showed that the behavior was spreading: birds were learning it from other birds. Since milk bottles with foil covers did not exist centuries ago, the behavior could not have been instinctive.
Whether animals are conscious is a difficult question, because it is hard to define consciousness, and because consciousness in humans isn't well understood. However, increasingly scientists are answering "yes."
Ethologists are scientists who study animal behavior, from the point of view of evolutionary biology rather than psychology. Ethologists have been talking about consciousness in animals for decades. In 1976, the distinguished scientist Donald Griffin published a book, The Question of Animal Awareness, arguing that consciousness exists in some animals other than humans.
In 2012, a group of scientists signed a declaration saying that mammals, birds, and some other animals, do possess consciousness.