Snorkelling is very popular, the highlights being the population of resident blue groper. Many other colourful fish inhabit the protected inlet. It is easy swimming for most in all but the roughest weather. Another good spot is Gordon's Bay.
Scuba diving from the easily accessible northern point is popular, and there is a local dive shop on Clovelly Road, Deep 6 Diving, 355 Clovelly Road, <firstname.lastname@example.org>, +61 2 96657427. You can see Long Finned Pikes, Old Wifes, Stingrays and Wobbegongs . It's not that easy to actually come out of the water, so check the tides before diving!
Swimming from the sandy beach is great for families and electric barbeques are available, great for picnics. There is also a 25 metre saltwater pool on the south side. The unique concreted sides of the inlet provide lots of space for beach goers who aren't fond of sand. There are cliffs and rock pools to explore.
The Coogee to Bondi Beach cliff walk  passes through Clovelly, before passing through the historic Waverley Cemetery when heading north.
Gordon's Bay is adjacent to Clovelly Bay, also fabulous for schnorkelling and swimming, though is a rocky inlet without a beach to speak of. There is an underwater nature trail for divers. Access from Clovelly parking lot, where you can find a map with explanations.