From a very early age, we're told never to take anything electrical into the bath. It used to be the case that every now and then someone would electrocute themselves when their radio fell into the bathwater; more recently it's happened when people have tried to charge their phone whilst in the bath, and had the connected charger fall into the water. The long and short of it is that electricity and water don't mix!
This photograph is an excellent demonstration of the reasons why. The water conducts the electricity across its surface. Fish instinctively know this, and so during a storm they'll swim deeper into the sea, where they're safe. For humans out swimming, or boats on the water, it's a different story. Lightning strikes like this one contain up to 300 million volts, which would be instantly fatal for anyone it touched.