In Delhi, lakes are to be found primarily in South Delhi. This is because South Delhi lies directly on the Aravalli Range which was blasted for the purpose of development. Among Delhi's satellite cities, Gurgaon and Faridabad also lie on the Aravalli Range and therefore lakes can be found in this zone as well! Lakes in Delhi and NCR are very small and rarely natural. Most of them are man-made that were excavated for the purpose of storing water for human consumption.
Few lakes are mentioned below:
-> Hauz Khas Lake: Located in Hauz Khas area of South Delhi, it was excavated by Alaud-din Khilji and was surrounded by the monuments like tombs and Hauz Khas Fort later on by Firoz Shah Tughlaq.
-> Sanjay Lake: It is located in South East Delhi area. It was excavated post independence.
-> Purana Qila Lake: It is located in South Central Delhi area. It was excavated during the turbulent times of Humayun era when Sher Shah had took over his seat temporarily. It is a very popular boating spot.
-> Bhalswa Lake: It is a natural lake in North West Delhi not worth visiting now, thanks to excessive damage due to human activities.
-> Naini Lake: It is located in Model Town in North Delhi famous for boating facilities.
EDIT: -> Sanjay Lake (Lakshmibai Nagar): There is one Sanjay Lake in Lakshmibai Nagar area of South Delhi too. It is located close to Safdarjung Airport.
In the NCR, though there are several famous lakes in the Faridabad-Gurgaon belt of the Aravallis. Some are:
-> Surajkund Lake: It is the most popular lake of Delhi & NCR and is located in the Aravallis. Situated in Faridabad, it was dug by Tomar dynasty of Delhi.
-> Badkhal Lake: It is a natural lake located in Faridabad. Unfortunately, it is mostly dried up due to excessive stone mining in the Faridabad Aravallis.
-> Damdama Lake: It is another natural lake. Located in the Gurgaon Aravallis, it is considered to be one of the most beautiful lakes of the Aravallis.
There are several other small water bodies in and around Delhi, which like the ones mentioned above have been swept away in the wave of modernization of this historic Capital region. Unfortunately, this is all that I'm aware of about my own city and its neighborhood! :-/