The Weather Channel had a great feature on natural swimming pools or holes around the world.
Most of them are a long, long way from here. I seriously doubt (meaning there's just no possibility it will ever happen) that I'll dunk myself in the Devil's Pool at the edge of Victoria Falls.
I guess the most likely one is the Hamilton Pool in Austin, Texas. I have, however, been to the source of the Comal River in nearby New Braunfels, and dipped my toe in just to say I was there.
Havasu Falls is second in terms of likeliness. I've also been to the Grand Canyon, but getting to Havasu Falls requires quite a bit more time and effort.
These places are pretty and special, so enjoy the feature: Natural swimming pools