A form of life that lives in oceans or lakes and that develops intelligence and tool use, or even civilisation, is by no means something that is out of the question.
Perhaps they would have limbs like the octopus or cuttlefish with which they could manipulate and shape their environment. They could also be huge in size, due to the same physics that gives Earth's blue whale its great size; the extra buoyancy of the surrounding liquid happily supports huge bodies in a way that an atmosphere cannot.
Their feats of engineering would be very interesting, as they would have to adapt to the limitations of oceans and lakes. Most metals, the key to humanity's first era of tool use (and every subsequent one, really) rust under water. Radio waves cannot penetrate water at long distances, so something else must be used for long distance communication. Imagine the suits they may create to walk on land, or spaceships full of liquid.
To an intelligent species such as these, we might appear equally as intriguing to them as they would to us. From their perspective perhaps, we breathe an atmosphere containing high concentrations of the highly volatile and reactive oxygen, which could be like breathing hydrochloric acid for a species such as this.
Such a species may exist even within our Solar System, in the deep oceans of Europa or Enceladus.