Water has a higher specific heat capacity than land(4186 J/Kg K) as a result of which water changes temperature more slowly than the land, meaning the climate near to the water(for instance the ocean) is more calm- the winter is not so cold and the summer is fresh instead of boiling hot.
also the air pressure depends upon temperature. The uneven temperature means uneven pressure and therefore winds. A good example for this are monsoon winds. For example in coastal regions during day time the heat absorbed by the sun from the land surface is 5 times faster than that of water in sea because of water has high specific heat & hence water gets slowly heated up. Therefore air above the land surface gets heated up & rises above from the surface thereby decreasing the pressure on land's surface. Hence, cold air flows from surface of sea water on to land surface(SEA BREEZE). Reverse of this happens during night time(LAND BREEZE)