Python 3, 6565 55 bytes
Thanks to mathmandan for pointing out a shorter version using the lambda
operator.
f=lambda a,b,n:f((a+b)/2,(a*b)**.5,n-1)if n else(a,b)
My original version:
def f(a,b,n):
if n:f((a+b)/2,(a*b)**.5,n-1)
else:print(a,b)
To my chagrin, a recursive function (a la the JavaScript and C++ answers) was shorter than a simple for loop.