On my current character I just finished up the CW on the Stormcloak side and decided, for gits and shiggles, to pretend that I and my loyal follower Erik the Slayer had been appointed Ulfric's personal guard when he left Solitude and headed back to Windhelm after the final battle. It was tedious going at first, I don't know if he's scripted to spend a lot of time just standing around admiring the scenery or what in order to make it seem like his trip takes longer than it ought to, but eventually once we got over into the Pale he pretty much motored on home from there at a steady pace.
Anyway, to get to the OT part of this post... he didn't take the main road out of Solitude down through Dragonbridge and past Morthal, he went around by the docks and the warehouse and then walked out to the water's edge just south of where the Dainty Sload is moored and swam/waded his way across to the opposite shore from there, and took the path that runs east/west past High Gate Ruins. There are a couple of small islets in there that he made use of in order to wade/walk instead of swimming all the way, but the last stretch is pretty much open water.
Because of his interminable dilly-dallying in a couple of spots on the Haafingar side of the bay, I was RPing that I was scouting ahead to make sure the road was safe (assuming I was guessing right about what path he would follow). In the course of doing that and using the Wait function to advance time until he would actually start moving again, I lost track of him a couple of times. I'm on PC so when that happened I used player.moveto and bounced myself right to his current location.
One of those times dumped me right in the middle of all that open water in the bay. The thing loads and I'm under water, I'm trying to swim up to get my head out to look around, I can't see Ulfric at all, and suddenly I realize I'm under attack. I can't do anything in the water, Erik has popped up behind me and is even farther from the shore, so he's no help. So I just start swimming like mad for the nearest land I can see. Then... suddenly... I hear the thunderclap of Ulfric's shout coming from somewhere. Next thing I know, two dead slaughterfish come floating by and the attack is over.

And here's the crazy thing: Ulfric was in the water too, but still able to engage in combat. Now I've never tried to shout from the water so I don't even know if it's possible, but I always assumed it wasn't so I was wondering how the hell he did it. Then I see him, and he's not swimming. He's wading, i.e. walking upright. He's about waist deep... in the same water that was too deep for me and my follower to do anything but swim through.

Make of that what you will. He may not walk on water, but he sure came pretty darn close.
