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.