Untouched by humans before the 1800s, Boundary Island wins my vote for most beautiful water on all of the Sanya coastline. It's still touristy, of course—and you should definitely skip the "submarine ride," which isn't worth the money—but the diving and snorkeling there are phenomenal, and simply walking the beach is a joy.
There's nothing like seeing a whale shark for the first time. Their sheer size makes you feel so small and humble, like in the presence of a god from a Miyazaki movie.
In Boundary Island, you have the option to feed or even swim with whale sharks. Feeding them shrimp is a funny experience, considering a car could fit in their mouths. The tank is a little small, but I think being hand-fed shrimp all day makes up for it.