The advantages of using water to filter the smoke are many. For those who don't know, it cools the smoke, decreasing its temperature and so reducing throat irritation. Not only that, it also filters combustion particles and moisturizes the smoke, providing a more pleasant experience.
By filtering the smoke with water you can reduce risks and prevent health problems. Apart from that, you can enjoy huge puffs of cold smoke with amazing flavor and density.
This cooling/moisturizing effect can be enhanced by putting the pipe into the freezer or if some ice cubes are put inside it before starting the smoking session.