Playing a new world created by 1.4.6. Filling a bucket from a lake, pond, or sea (all the same thing really) will remove the water block and it won't respawn. This makes it possible to dig a "hole" in the middle of a body of water.
This is new(ish) behaviour, and a quick scan of the change log for recent versions shows no mention of this, so it looks unintentional (and therefore probably a bug).
Duplicate of MC-916.