Steven Spielberg used some really innovative camera techniques to make the audience feel like we've been plopped right into the water along with the shark's unsuspecting victims. The crew invented new equipment that allowed the camera to sit right at water level, just like a swimmer's line of sight. "I really wanted this movie to be just at water level, the way we are when we're treading water, Spielberg explained. "I wanted to get the camera right down to where the human point of view is most accustomed to be when you're swimming" (source).
The majority of the movie was filmed on location rather than at a movie studio. Filming on the open ocean caused all kinds of problems (lots of barfing, for instance), but Spielberg felt the ocean sequences had to be on location because the ocean itself was such a character in the film. Particularly for the third act—during the shark hunt—he wanted the sea to be ever-present. That's one reason they picked Martha's Vineyard as a filming location: The ocean remains shallow even miles away from shore, so they could operate the mechanical shark while still keeping land out of sight. In fact, Spielberg made sure the Orca had big windows so even when you were inside the cabin you still couldn't get away from the sea. He wanted to have "the ocean […] breathing down your neck" (source). Guy's a genius. An evil, evil genius.