I did a lot of research into this. Take a digital camera with a Canon DIGIC-2 processor. Because this processor is just the best for the blueish underwater color to process. I've bought myself a Canon IXUS 700 (american name I think SD500) and it's just an excellent camera. You can buy a canon underwaterhousing which you can take to 40 meters for only 175 euro.
The beaty of the camera is that you can take very good video's with it as well!
Some photo examples:
http://www.shark.nu/gallery/browseimages.php?c=4 (the top 8 categories are made with this camera)
Some video examples:
http://www.shark-bait.com/media-video-nemo33.html
Full review of my camera at
http://www.dpreview.com/reviews/canonsd500/ where you can find much more usefull reviews of cameras. It's already 1 year old so canon already has some succesors to this one.
My opinion about Sony camera's: I've tested quite a few sony cameras for underwater work, but all the time I was very dissapointed by the color blue. Sony just doesn't work out half the quality on the blue as the canon does.
