It would seem that the jet ski would be the only way to go, and I guess it would be if one was in a hurry to get across the lake. But the slower, leisure pace of a sailboat would appeal more to many, and in a way both would be fun.

Why is this called a jet ski? The answer, according to Wikipedia, is interesting - "Jet Ski is the brand name of a personal water craft (PWC) manufactured by Kawasaki, a Japanese company. The term is often used generically to refer to any type of personal watercraft used mainly for recreation, and it is also used as a verb to describe the use of any type of PWC."
So in actuality, it is a personal water craft or PWC.