Just off the top of my head, Lake Powell would be a great place to sail. I think you can camp any place you find suitable, but don't expect any internet service. Before going any further, let me warn you that very nasty afternoon storms on any of the lakes in western US mainland are common
Fishing can be good on Lake Powell depending on the time of the year.
If I had my choice, one of the lakes I would love to sail on would be Yellowstone Lake in YNP--if you have never been to Yellowstone, that is a must stop. At least one person has taken his AI on Shoshone Lake. You definitely have to be looking for a bit of an adventure to get your boat up Lewis River Channel to Shoshone Lake. The beauty of Shoshone Lake is that it is like a mini (micro?) Yellowstone w/o all the people. There are many backcountry campsites on Yellowstone & Shoshone. Here is a link to info about both lakes: http://home.nps.gov/yell/planyourvisit/upload/3maps.pdf
Both of these lakes are about 8000' and represent cold-water sailing. Comments above about storms and internet apply to these lakes.
Jackson Lake in the Teton National Park would be hard to beat. Absolutely spectacular Rocky Mountain setting. For natural beauty, it is hard to beat the Tetons.
Heron Lake in northern New Mexico is a nice lake to sail. Northern NM is neat because it is so close to Indian heritage sites like Chaco, Mesa Verde, Bandolier. Of course, if you want to get some trout fly fishing in, this (& southern Colorado) is the area to do it. Navajo Lake is another possibility with some truly world-class fly fishing in NM below the dam. Navajo Lake has a variety of fishing and camping. BTW, northern NM is generally 7000' plus, so it is not nearly as warm as Arizona and Lake Powell. Nights are almost always cool.All wilderness areas in the west and many urban areas are subject to bear predators
, so you have to take precautions and use common sense. At the same time, people hike and camp in these areas all the time, so you don't need to let that deter you.
Montana is a surprisingly beautiful state with many large lakes: Flathead, McDonald, Hebgen, St Mary, Hungry Horse, Quake, and Bitterroot, to name some.