By Boat:

El Cielo (The Sky) –> Gorgeous, shallow water with lots of star fish
Columbia Shallows –> Fantastic snorkel in about 20- 30 ft water, lots of coral and sea life
Paradise –> Another fantastic snorkel in about 20- 30 ft water, lots of coral and sea life

Shore:

Money Bar (Free, buy a drink, stay a while and snorkel, food is good)
Sky Reef (Free, buy a drink, stay a while and snorkel, food is good)
Palancar Beach Club (Free, buy a drink, stay a while and snorkel, food is good)
Just about anywhere on the windward side of the island (beware of strong currents. Know what the flags mean and pay attention.)