Keeping your hair in a braid is the easiest way to keep it contained and avoid really nasty tangles during exercise. When I was on swim team, I braided my hair and then coiled the braid into a bun at the nape of my neck, and put a swimcap over the whole thing. If you can wear your own swim cap, the silicone ones are more comfortable and do not tear the hair as much as the latex ones.

The best way to protect hair from chlorine is to wet it down with freshwater first, so that the hair will be less likely to absorb the chlorine water. Also, slathering on some oil or conditioner before getting into the pool helps as well, paying special attention to the ends of your hair as they are the most weathered and fragile. You can use pretty much any hair conditioner, or an oil that is good for hair such as jojoba or coconut oil. After being in chlorinated water, you need to use a shampoo designed to remove chlorine deposits from hair. Regular shampoo does not do this. Some expensive salon brands that work well are Nexxus Aloe-Rid and Joico Resolve. Aubrey Organics also makes a very good Swimmer's Shampoo that is organic.

So, if I were to consider doing a triathlon (which is highly unlikely, since my knees can't handle the impact of running) I would probably do the following:
1. Wet hair thoroughly and coat the length/ends in oil or conditioner
2. Put it in a single low braid that can be worn with a hat/helmet
3. Coil the braid up and stuff under swimcap for swimming portion
4. Take off cap and let braid hang loose for the rest of the event
5. Afterwards, wash with a chlorine-removing shampoo and use a very moisturizing conditioner


BTW, my hair is down to my calves, so I'm sorry if I come across as slightly hair-obsessed.