Comparing the dipole moment of water and ethanol
It's probably due to the slight difference in electronegativity between H (2.2) and C (2.55) 

Here's some data on gas-phase dipole moments from the CRC Handbook:


Water - 1.85 D
Methanol - 1.7 D
Ethanol - 1.66 D
n-Propanol - 1.55 D
n-Butanol - 1.66 D


Using some incorrect data, I pointed to a possible odd-even effect. Using the correct gas-phase dipole moments, we see that these are all pretty similar (i.e., +/- ~0.2D).

Certainly water has the highest dipole moment, but H is slightly more electropositive than C, suggesting that as a likely cause.