We too highly recommend the Loreto area for diving, in fact all of the Sea of Cortez. We have spent the last 4 years sailing from Vancouver, BC, Canada down the Pacific Coast, through the Panama Canal & up to Roatan, where we are now. Along the way we dove extensively throughout California, the Baja, the Sea of Cortez, Pacific mainland Mexico, Costa Rica, Panama (both the Pacific side islands & the Caribbean side around Portobello & Bocas Del Toro), San Andres/Providencia and now here. The Sea of Cortez is hands down one of our top 3 areas & in particular off Isla Coronados, which is just a few miles Northeast of Loreto. The 5 points that form the north & eat side of the island offer outstanding diving on every one of them & each has different topography & life to see. We spent a month in that area in July of 2010, loved the town of Loreto & all of the nearby islands. The vis was only average and the water a little cool, we used 5 mil wetsuits but the diving was still superb. The jumping mobula rays are just a hoot to watch & it's amazing to snorkel in the shallow bays of Coronados & watch squadrons of them swim all around you!
After that we continued north into the Sea of Cortez & dove all up the Baja coast to Bahia de Los Angeles, outstanding diving, particularly around Animus Slot, and then up to the north end of Isla Angel de La Garda to Refugio Cove. The water temps improved dramatically in August & September & so did the viz, the diving became better each week through the late summer & fall. Loreto & Isla Coronados remained one of our favorite spots so we actually sailed from San Carlos on the mainland side of the Sea across to Loreto in October just so we could spend a couple more weeks diving that area. I could write a book about diving the Sea of Cortez (I'm sure several people have), there are so many amazing locations all over it, the only issue is a lack of dive shops & support facilities so that limits you when you are shore based, we are very fortunate to not have that particular problem.
For the poster that asked about whale sharks, many spend the summer season up in the Bahia de Los Angeles area and they move through the Loreto area in the spring, heading north, so it's hit & miss on the timing if you are lucky enough to be in the right place at the right time. They also hang around the Bahia Concepcion area for the early summer, the town of Mulege is close by, there was a dive shop there but it got toasted by a hurricane, not sure if it has reopened or not . If you want to see whale sharks in the Baja either Bahia de Los Angeles or Bahia Concepcion in the summer are your best bet, we actually had one bang into the side of our boat at anchor one evening (their eyesight isn't very good).
Hard to describe just how great the diving is up there in the late summer & fall, if you have the opportunity to go don't miss it!