Water can be very useful, it flows faster than lava, can put out fires, and is a renewable resouce that can be reproduced indefinitely when set up. To start producing water you will need to make a bucket using the Crafting table and three iron ingots or alternately find one in a dungeon chest. Once you have crafted or found a bucket use it to arrange water source blocks in a 2 x 2 square or a 1 x 3 rectangle to create an infinite water source, through which water can be used infinite times to fill buckets and empty bottles. Natural infinite water sources can be found inside villages and desert wells. Remember though that water is determined by seed so if you want water make sure you don't use a seed that places you in the middle of a desert. The bucket you created can be be used to transport and store water, it can also be used to pick up and transport lava or milk from cows.
The video below is a tutorial on how to make an infinite water source
When you are underwater you will have 10 air bubbles which will slowly deplete, when all 10 air bubbles have fully depleted you take damage and run the risk of drowning which commonly occurs in large stretches of water.
Tip
If you have a bucket of water with you and you need to jump from a high place you can jump and place the water in the ground just before you land.