The southwest coast has some good intricate banks of coral that are rich with little critters — this is where the snorkelling trips from Gili Trawangan tend to visit, and with good reason.
The west coast (high tide only) can be a good spot for spotting turtles and general drift snorkelling, though you need to swim a good way out over beds of sea grass to get to the best.
Snorkelling is also reportedly good on the east coast, but we didn't try it in person.
Do watch out for the currents — especially between Gili Air and Gili Meno — do not try to swim between the two islands else you'll end up in Lombok — or Sumba.
Snorkelling gear is easily hired across the island and there is no need to bring your own unless you have specific needs.
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