Exmouth is the main destination on the west coast between Monkey Mia and Broome, even though it is just a small town of only 2000 residents. The main attraction here is the excellent diving afforded by easy access to the Ningaloo Reef. It is also a great place to see whales, turtles and whalesharks.
There are several places where you can do a dive course. Expect to pay around $250 for a four-day PADI course.