Most overnight anchorages are great for swimming/snorkeling from your boat. Some of our favorites: Norman Is: Pretty much any of the anchorages....Privateer Bay is probably the best (the Caves are there) Peter Is: Little Harbor and Great Harbor Marina Cay: Diamond Reef (excellent snorkeling here) JVD: Diamond Cay.
There are many other great day anchorages with excellent snorkeling and swimming.