Outdoor pool - Favourite on a hot/sunny day. And as I favour hot/sunny days, my favourite overall. Private pools are amazing when you get them on holiday.
Indoor pool - Favourite on a cold/rainy day.
Ocean (beach) - This is my favourite of the natural waters of the world.
Lake - I don't mind lakes.
River/Creek/Stream - This really depends on the current, depth and how clean the water is.
Ocean (ocean) - This idea scares me a fair bit, but at the same time I bet it would be really nice to swim with whales or manta rays. I don't think I could ever do it though.