To cool down the smoke so that you can inhale more, faster, longer, higher than smoking a joint or non-water-cooled pipe... You could eat the stuff though if it made you feel better... :)
Not all bongs use water and ones that do, work fine without water. However I always recommend new ice cold clean water before each sitting. The purpose of the water is to help filter and cool the smoke. I'm not sure how it works for tobacco because nicotine is water soluble, but for marijuana, the active ingredient THC is not soluble. As the smoke passes through the water, some of the chemicals, especially many carcinogens, are absorbed in the water. Since THC is not water soluble, it passes through the water. So in your smoke you are still getting the THC, along with less extra chemicals. I read in a High Times magazine that water usually filters around 30% of the tar making it better for your lungs than a non water filtered device. Remeber to change water before each sitting. Use ice (or melt the cubes down if they don't fit) to keep the smoke even cooler.
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