I suspect that a simple death is preferable to the many ways a genjutsu can toy with one's mind and incorporate torture in with something as simple as drowning. It rather depends upon the purpose of the death - to make someone suffer, to kill them quickly or silently, or to discover information. Drowning does not easily fit in many of these categories, partially because ninjas have protections that civilians do not, and can save themselves easier. But apparently it is quite useful for ninjas involved in interrogation. Even the civilians have a name for it; water-boarding. Though I daresay the various villages have come up with some interesting additions to the simple threat of drowning.

I've undergone a simulate drowning experience a few times, and I must admit cold-water drowning is...peaceful, surprisingly. The body is too cold to really panic, after the first few seconds of immersion, and as a result the senses are heightened yet calm. Not nearly as terrifying as being immersed repeatedly for information.