5 Best Things to Do in Iceland in the Winter #3 Swim in the Blue Lagoon. The Blue Lagoon, located in a lava field, is a geothermal heated lagoon that is mineral rich with silica and sulphur and is indeed BLUE! It’s basically a giant mineral rich, blue watered, hot tub. The relaxing blue lagoon is a place you won’t want to miss. Click to read the rest!