According to this site, it's Lake of the Woods in Minnesota, Ontario, and Manitoba. It lists many lakes including the Caspian Sea, but at over 25000 miles, they say it's the Lake of the Woods.
Of course if this considered using fractal geometry then any lake has an almost infinite coastline if you measure it at smaller and smaller scales.
Consider the measurement of a coastline at the millimeter scale - every indentation however small has to be measured.
http://www.lakelubbers.com/worlds-lakes-longest-shorelines-C2/
