Koh Lipe has some great snorkeling right of the beach, but the best spots can be visited on day trips to the dozen or so nearby islands.
A great spot is at the southern tip of Sunrise Beach (Near Forra, Coco and Viewpoint). Good swimmers can take fins and snorkel and head out to one of the 2 small islands in front of the beach. There are nice things to be seen when you swim around the islands, or swim from one to the other above a sharp drop-off. There are sometimes strong currents here, don't head out alone. Another good place to snorkel is Pattaya Beach, the good stuff is a bit further out. Ask at the many dive shops on Pattaya beach where exactly you need to go.