Water isn't great for bigger balloons. Filling a huge balloon with water usually just results in a heavy, unwieldy, and unstable mess.
As for helium, it's more or less the same as regular air except floaty. It's alright, but it robs you of the experience of blowing up the balloon by mouth, which is half the fun.
It is kinda fun to tug on a helium balloon's string to make it bounce, though.