If you shoot a bullet at water the bullet will not penetrate more than 2.5 metres. This interesting bit of information was tested by Mythbusters and they proved that the hero can escape bullets by diving into a river or lake.
(Water has a specific gravity about 900 times that of air, so to be stable when penetrating water, a bullet would require a twist 30 times greater than that for flight through air. I do hope you don't mind if I don't test this one personally, let's leave that to Mr Bond.)