nah, but only cause the game wastes an opportunity to make the waters scary. No sea monsters or anything etc etc. I recall reading a vampire lorebook in the elder scrolls games that talked about vampires that would live under the ice and pull people under, thought for sure something like that would be implemented in skyrim. The rare times I play argonians though, I do like to hop in deep water when being chased by guards and such, puts their worthless racial ability to some use at least.
As a side note, I am freaked out at deep water in actuality. If I can't see the bottom, then I don't go near it. Think though it's less fear and more disgust, fish creep me out with their unblinking eyes.