Hi. We live in Rio and almost only dive in the Caribbean, been to Fernando de Noronha once far and pricey to get to, stay and dive).
The water around Rio is cold (currnts from Antartica, we even get pinguins on the beach in Ipanema). To the south there are dive operators that work the Ilha Grande and Angra dos Reis areas where the water is not so cold. To the north a couple of hours by car/bus is Arraial do Cabo (near Cabo Frio). An active trip organizer in Rio (Ipanema and Leblon) is Dive Point, usually running a once a week (weekends) excursion that can handle everything from travel to lodging to equipment and a couple of decent boats and crew. Their English website is:http://www.divepoint.com.br/english/index.htm
You can also Go0gle search, but try keywords "mergulho" and "Rio de Janeiro"
Um, Brazil is a huge country, so places like the NorthEast are long hours away by air, so I would really only consider Ilha Grande, Angra dos Reis and Arraial do Cabo, all within Rio de Janeiro state and 2-3 hours aaway by land. Enjoy!