While I was on holiday in England, I went to London Fields Lido a couple of times. It's open air but is heated all year round. The week I spent in London in mid-January was bitterly cold, but I was determined to have a swim here. I'd forgotten to bring a swimcap with me, and they had run out of them at the kiosk, so I was a bit worried about getting cold ears. The water was really warm though and I never once felt cold in the water. The dash from the pool to the changing sheds was a different story.
I did several lengths of breaststroke, but also spent ages swimming on my back looking up at the grey, drizzly winter skies and the bare trees. I absolutely loved this pool.
There are still several lidos (open air pools) in the London area. Only two (I think: here and Hampton) are heated during the winter. I'm keen to return in summer one year, and, as a friend suggested, swim my way across London via the lidos and swimming ponds. I'd really like to swim in the ponds on Hampstead Heath again. It's been 25 years since I last had a swim there.
There is an excellent website all about lidos in London and other lidos, pools and sea baths in the UK. It's hosted by Oliver Merrington, and there is a link at the top right of this page.