They make complete sense in and around water. Water is greedy, and would like nothing better than to suck up your knife. Frankly you might be surprised how hard it is to get something out of waist deep water.
In general I can't stand lanyards; I don't keep one on my knife, and haven't ever considered it. I doubt I would, except when I go near the water. Different strokes for different strokes though, some people absolutely love them.
I keep simple lanyards on tiny stuff though, like my Leatherman Micra that floats around in my pocket; I keep my change and such in there, and the lanyard is an "aha!" to my fingers when I'm trying to get it out. Plus actually the whole extra grip thing works when you have a tool that small.