It really depends on the situation. Some will hold up under heavy stress and some will work fine for a nice day at the pool but come off if you jump into a hot tub.
I am in a hot tub quite a bit and I use Covergirl's professional waterproof mascara. I have never had an issue with it.
For foundation I use CG's Aquasmooth and a light powder to finish it off.
Eyeliner. I have used a few different ones that were supposed to be waterproof but they did not hold up well so if I know I will be in the hot tub or spending some time on a beach, I skip the eyeliner completely.
Lipstick. I use CG's all day Outlast lip colour. Works great but can be a real pain to take off if you do not have makeup remover.
Now, for removal. I use a generic pre-packaged wash cloth that is good for removing makeup. Oil of Olay sells a good one if you need a brand name. If you do not like those then just about every major line has some sort of remover out there. Better to use anyway, not so harsh on the skin.
Also remember to go light on the makeup and do not submerge your head if you really do not need to do it. Heavy sweating will eat through most make up types, including the foundation I mentioned above.
YMMV.
