Underwater welder here; actually fresh water does not conduct electricity very well but salt water does because the dissolved salts (sodium, magnesium and potassium salts) are electrolytes, meaning they have the ability to conduct electricity. Our bodies need electrolytes for our nervous system to function so we are slightly salty; think of our blood, sweat and tears. When immersed in fresh water (like a bath tub), any electrical current "sees" our body as a better conductor than the fresh water so the current would prefer to travel through our body than the surrounding water. Put bath salts in your tub and now our body is less of a conductor (but stray electricity can still give you some tingles).