There is a swimming hole on the Firehole River in Yellowstone. You have to take the Firehole Canyon Drive to get to it.
As others have mentioned, Cody is worth a couple of days at least. We stayed 3 nights in Buffalo Bill State Park and enjoyed the Museum, Irma's and several other places in Cody. There is one campground right on the lake. I guess you could swim in it if you wanted. If you've got time, the Chief Joseph-Beartooth Highway is well worth a day trip. We started in Red Lodge and it's a cute little town.
We stayed in the Grace Coolidge Campground in Custer State Park and visited Mt. Rushmore. As others mentioned, Deadwood & Lead should be on your list.
The Badlands isn't far from the Black Hills and could be done in a day. Then there's Wall Drug which is between the Black Hills & Badlands.... It's nearly impossible to say you've seen everything there is to see. There is always more!
