To go diving, first you need a qualified instructor and access to scuba apparatus. It is a good idea to learn the basics of diving in your home country before you travel a long way to go diving, as you will have more fun in exotic locations if you have at least some idea in advance what youre doing.
The most popular diving holidays are often live-aboards, which means that you live onboard the dive boat for the entire duration of the trip. This allows you to save both on accommodation and on the cost of diving, as well as being a unique place to stay. However, be careful to travel light, and take a short trip on a boat first to see whether you get seasick youll have no fun on a live-aboard if you do.
There are lots of other things to be careful of if you do decide to go diving. For one, you need to make sure not to come up too fast, as sudden changes in water pressure can be harmful to the body. You also need to be careful about the heat of the water you dive in (it shouldnt be drastically different from body temperature), and about wearing a wetsuit to avoid getting stung by the many underwater creatures and plants that can give you a nasty scratch. Dont worry too much though: as long as you pick a good diving school, your instructor should go through all the risks with you thoroughly, and give you all the equipment and knowledge that you will need to avoid them.