They are both correct but suggest different ideas. "Are you still on the lake?" This could be asking if you are still on the surface of the water. You might say this in a message to someone in a sailing boat, for example. "Are you still at the lake?" This is a more general location. It might mean that you are walking along the side of the lake, sitting on a beach by the lake or eating at a restaurant looking out over the lake, for example.

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