I did Blue Lagoon a two years back and really enjoyed it. It was a short boat ride from the port and overall a very quiet and peaceful environment. We enjoyed our experience there as well as walking around and looking at the other animals and enjoying some time on their beach as well. They have a water obstacle course for a nominal fee as well if that's something you are interested in.
I also did a dolphin swim at Atlantis, but it was a while back when the resort had just opened. I've always found my Atlantis experiences to be overpriced for the experience, but I know many people who enjoy it. There are a few other things to do at Atlantis as well, however the fees for those could be quite high to add on.
Personally I enjoyed Blue Lagoon because it felt less commercialized and more special. If I remember correctly I do think it was slightly cheaper as well, but I could be wrong about that. Atlantis may be better if you have smaller kids and need a shorter commute back to the ship as it is just a quick taxi ride away. Truly don't think you could go wrong with either, but I would go back to Blue Lagoon before Atlantis personally.