Well, since this topic came up again yesterday I've gone bananas with it. I'm going to build small natural pool in my yard. I personally don't do much "swimming" when I go to the river. I just get in to cool down and fly off the rope swing. I'm thinking I can do it for 2-3 grand. I'll be sure to keep everyone posted.
BTW, Check this out:
How to Build a Natural Swimming Pool
I think I could get the hole dug on a Saturday if I invited all of my friends and provided free beer and food. Then it's just a matter of laying down a liner and planting some plants. Maybe also a small solar powered air pump or something like that.