My son asked me whether you can make a thermometer using water. Of course we both realized that if the temperatures fall below freezing, the water would expand and could potentially break a glass, bulb-type thermometer. We also found various other suggestions, such as water doesn't respond as much to heat because of it's high specific heat index (how much heat it can take before it begins to get hot), to the fact water does not expand in a linear relationship to temperature (don't you love physics?)
Here is a YouTube video that shows how to make a simple thermometer. At the end he discusses why he uses alcohol rather than water.
We also found some explanations about a thermometer which may be filled with water called "Galileo's Thermometer."
Here is what one looks like. (Photo from Wikimedia Commons, see Galilean Thermometer link below) Isn't it beautiful?
This Galilean Thermometer link is a very clear explanation of how they work.
Fun alert: Arizona's Geotechnical, Rock and Water Resources Library link shows a graph of the density of water versus temperature to show that the relationship is not linear. But they also have a cool interactive illustration further down the page which allows you to change the temperature and see how the glass bottles move up and down. Have fun.
And finally, you might want to take a look at this activity using thermometers I wrote that is over at the Leaping FromThe Box website.