I've had nightmares about deep water, especially from the surface's point of vue.
I once dreamt I was stuck in a well that was very full, but not full enough for me to reach the edge. The walls were smooth -- and I knew something horrible was bidng its time before attacking me.
Sometimes when I swim out in a lake or the ocean, and I can't see the bottom anymore, I get a mild panicky feeling.
I like scuba-diving though, when I'm down there, I know there's nothing under me so I'm fine ^^
Oh, also the deep blue. Where the reef ends and the ocean begins... you just see an expanse of blue ahead of you, and it gets darker, it's just an impossible perception of depth. Brrr. *shudders*
Also, the whole "We're used to the concept that everythin is in something bigger: me in room in house in village in county in state in country in continent in world in galaxy in universe in... ????) Thinking about the nature of the Universe gives me the willies.