Believe it or not but a swimming pool is not the investment that it used to be.  There are safety issues that some buyers might be rather concerned with, especially if they have small children.  That essentially eliminates a certain section of buyers that might otherwise be interested in your home.

That said, a pool should be something that you think about as something to enjoy and not as an investment.  So, if you want to maximize the 'investment' part of a pool it's best to buy a home that already has a pool instead of building/installing it yourself.  Basically you'll never recoup the $$ that you invested if you build it from scratch.

And also, please make it an in-ground pool :)