For nice swimming and snorkeling, head to this water-filled crevice in the rocks. Talented and fearless locals climb the nearly vertical walls to plunge into the water below. Take a water taxi (per person US$0.80 from 6am to 7pm) to the dock for the Angermeyer Point restaurant, then walk past the Finch Bay Hotel, then past an interesting salt mine, and finally up and around a lava-rock-strewn path to the water. It's about a 700m walk from the dock.
Keep an eye on any valuables that you leave on the rocks.