Each substance be it a compound or an element, has a particular mass-to-heat ratio. This tells you how much energy a substance can absorb or emit in a given period of time. Water has a rather high specific heat, which makes it good for heating and cooling-it can carry more energy per volume than say something light like ether. Air has approximately 100 (?) times less heat storing capacity than water, (check me on that), so it doesn't hold energy very well. A room at 70 degrees F feels OK, but a swimming pool at the same temperature would feel chilly, because the heat of your body is being removed 100 times faster.