My parents had a pool at our old house (my high school years) so I used to do it all the time with my ex (bitch, slut, whore). I don't recommend it when the girl is on her period though unless you want to reenact scenes from Jaws...
One needs to remember that chlorine is a desiccant (drying agent) so make sure you've got plenty of KY with you if you want to fuck in a pool or spa. Otherwise, you're going to leave some serious red skidmarks on both penis and vagina.
It was great did it with an exgirlfriend of mine many years ago. However I have yet to have sex with a women in a hot tub or shower. Let me add that to the list.
It's great. I did it in a hot tub. Fantastic. Showers is good times as well but when you start washing the vag out with soap that shit hurts apparently. My girl didn't like that too much.