This is an interesting discussion, although a little bit of an old thread. I thought I'd share my .02 anyway in case it helps anyone else on on the decision.

We just closed on our new home last week and construction on our pool is about to begin. My wife and I went back and forth for several months on whether or not to get a pool now or wait until next year - after we had gotten accustomed to our new house note, and also because I usually get pretty good bonus and could have put down additional cash - would still have to finance some either way though.

We ended up rolling our pool into our loan for a few reasons. We wanted to get it built while we have no neighbors next door - construction has started on the lot next to us, but we don't have to get any permission or worry about landscaping, sprinklers, etc. Also, we got a better interest rate than we would have gotten with a a "Pool Loan" from a company like GE financial.

We have some friends who put in a pool after owning a home for a couple of years and they financed at a higher rate. They did not like the high payment, so they eventually refinanced their home and rolled the pool in. They got a better rate and got to deduct the interest, but still had to pay several thousand in refinance costs. When they built their last home, they included the pool and said they would definitely do it that way again.

We have three children and plan on staying in this home for quite some time-no less than 15 years, until all three in are college. I'm in an industry that provides pretty stable employment and it's unlikely that I'll be transferred so fluctuation in home prices isn't a real worry. In other words, I'm not overly concerned with the resale value on my house. My main consideration was making sure I ended up with a manageable monthly payment. Once we had the final figures from the mortgage company and realized how small of an increase a pool would make to our monthly note, it became an easy decision.

In finance terms, as I understand it, we weren't actually financing for more than the value of the house, but adding to the value of the house and then financing for that increased value (yes I know pools don't add that full amount of value, but in financing terms they do).
Of course, everyone's situation and priorities are different so I certainly understand why some people choose to pay cash and others decide not to build at all. This is just the route we chose.