‘in’ usually works too, especially if you are talking about geography. The battleship is in the Pacific. My other boat is in the Adriatic. And we’d say ‘The boat is at sea.’ (Meaning it’s not at the port)

Certainly! In the context of your sentences, the correct preposition to use is "on." "I like riding a jet ski on the sea." "The boat is sailing on the sea." When referring to riding or sailing on water surfaces like the sea, "on" is the appropriate preposition to indicate the position of the activity on top of the water. This applies to both jet skis and boats.

On the sea would be correct. However a jet ski can only be ridden on water, so you could just say 'I love riding a jet ski.'