Hey Moose,
All the information you could *ever want* about the pools in canton Vaud is listed in
this pdf. To let you know, there are
very few indoor ones (something like four in the whole canton), and I've heard the one in Lasuanne, Mon Repos, is so busy that smashing elbows with people around you is an ongoing problem, so I've never bothered going. Also, pool opening hours are limited compared to the rest of the world (Mon-Repos opens at 8:30, the one in La Tour de Peilz 6:15 pm!) so a quiet early-morning swim before work isn't possible.
There are, however, a very large number of outdoor pools in the area that are open for an extended summer season (many are heated), and these are quite cheap. Check out the pdf for details. You also have at your disposal a 70 km-long swimming pool (Lac Leman) that is safe for swimming, so long as you keep out of the path of the 1220-passenger steamboats.
The beach at Lutry is a popular swimming area, but there are other beaches dotted along the coastline.
Happy swimming...
HeatherM