In terms of hygiene, the pool wins every time. I'm a big fan of swimming, and I've done it in pools, rivers and reservoirs. Pools are the only one where you can guarantee not to have the shits the next day.
In terms of exercise, then I'd go with the pool, as they tend to be temperate, whereas (in the UK) lakes and rivers are cold all year round, which makes you feel tired a lot quicker. And of course, its much easier to plan exercise in a pool, as you know the distance of each length and there a clocks etc.
In terms of fun, probably rivers or the sea, although that's more splashing about than swimming. And most of the time I'd try and grab a boat instead, much more fun.