Quick note: while THC is not water soluble, a noticeable percentage of THC is removed from smoke when it passes through water. It's the Catch-22 of using a waterpipe: the filtered smoke is better for the lungs, but you tend to end up smoking more to get the same effect of non-filtered smoke thus exposing yourself to more smoke and in turn negating any real benefit the filtration process.

That aside, I don't think there would be too much of a difference between using water or any other liquid. Hell, once I used cheap wine in a bong (don't ask...) and it got me pretty fucking ripped.