There are a couple of misconceptions in the above posts.
Two things here. First, electricity does follow the path of least resistance, but it’s not quite like some people seem to think. Consider the simplest case, that there are 2 different paths for the electricity to take. This is what we engineer types call a “current divider” because the current divides between the two paths (duh, ok, engineers aren’t very creative with names, what’s your point…). The thing is, not all of the electricity takes the path of least resistance. The current will divide itself proportionally according to the resistance. The path that has the least resistance will get more current, but the path with the most resistance still gets some.
The second thing from the above quote is that lightning isn’t quite that predictable. Lightning forms “streamers” that reach up from the ground and down from the sky. Whichever one happens to make contact first is where the bolt goes through. It may go through the branch of a tree one time, pick another branch the next time, or maybe pick a nearby post. Who knows.
Actually, as far as conductors go, water is a pretty poor conductor. The thing that makes water so dangerous is that while it is a poor conductor, it is in fact a conductor (compared to something like wood, which is a fairly good insulator), and also that it takes a very small amount of electricity to do the body quite a bit of harm.
Electricity kills you primarily from one of two things, either it cooks you to death or it interrupts your heartbeat. Anyone who manages to survive a lightning strike will likely spend months in the hospital just recovering from the burns. It takes quite a bit of energy to cook you to death. It takes a very small amount of energy to interrupt your heartbeat however, and once it is out of whack it very often won’t recover on its own, so unless someone is standing next to you with a portable defibrulator, you’re toast. The minimum amount of electricity thought to be able to kill you (for ethical reason’s we’re obviously not really sure of this) is about 5 milli-amps (0.005 amps). To put it in perspective, your circuit breaker on your outlet (where you plug in your hair dryer) probably trips at 15 amps. So, even though water is a really poor conductor, it takes only a tiny fraction of the current that the line is capable of supplying to stop your heart. That’s why you need to keep the hair dryer OUT of the tub, thank you.
Now let’s put this in perspective with a lightning bolt. Your hair dryer is plugged into a 120 volt outlet (maybe 220 depending on where you are in the world). A lightning bolt by comparison is millions of volts. I’m not sure of the exact ampere rating of a lightning bolt, but “pretty freakin high” is probably accurate enough for this discussion. When the lightning bolt hits the tree outside, the club building, whatever, there are going to be multiple paths that it will take. If it gets into the building steel, that’s a really good conductor, so it will likely follow that for the most part. But, remember what we have here are a bunch of current dividers, so some of the current is going to go through the not so good conductors, i.e. the swimming pool water and the people in the pool. Granted, only a tiny fraction of the lightning bolt’s energy will go through anyone in the pool, but keep in mind that a tiny fraction of a lightning bolt is more than enough to get your heart out of whack.
I would think that it would be a pretty rare event, but definately not impossible for you to be electricuted in an indoor pool.