While most of the dive shops are on Lembongan, many of the best sites are actually in the waters off Nusa Penida.
Blue Corner and Lembongan Point are the only two we were told about near Lembongan itself, with the more famous spots such as Crystal Bay, Manta Point and SD Point (among others) all off Nusa Penida.
The waters around here, especially off Penida, are known for their strong and unforgiving currents, so if you're learning, Bali is more suited to absolute beginners. That said you can still learn on Nusa Lembongan and a three-day PADI course will set you back around US$350-$400, while the Advanced Open Water costs just under $300, and single dives cost $40. Shop around to find both a price that fits your budget and an instructor that you'll be comfortable with.