What are the risks in landing on a beach vs. shallow waters?
Having done my primary training essentially over beaches I'm pretty well-versed in the theory (but thankfully not the practice) of landing on beaches.

Given the possible choices offered at your typical beach, the order of preference for landing areas is generally:


Pavement
People like to drive their cars to the beach. There's probably a road or parking lot nearby, and if it's empty enough that's where you want to land.
Dirt (not sand)
Some beaches have "sandy dirt" areas, usually with low grasses and the like on them. If the beach you're contemplating has such an area it's probably your second-best choice as it will be the firmest ground and closest to landing on a grass strip. (Beware of bumps and rocks!)
Wet Sand
The sand between the high-water mark and the low-water mark on the beach tends to be fairly compacted, so it can make a decent landing area. It will probably be softer than dirt/grass, but give it your best soft-field technique and you can probably set the plane down without damaging it.
Properly executed you can put the plane down without doing any substantial damage, and if it's an actual emergency you're unlikely to get in any trouble.

Dry Sand
Fluffy dry sand is a decidedly soft field situation - soft enough that in a nosewheel aircraft there's a very good chance that no matter how careful you are or how good your soft-field technique is you'll lose one or more of your landing gear - but at least you're on dry land.
The recent incident in Florida is an example of this: the aircraft's nose gear was sheared off as you can see below, but the pilot and passenger walked away (sadly some bystanders on the ground were injured, and one was killed).

Water
Unless your plane is on floats water is basically the landing of last resort - particularly for fixed-gear aircraft. The forces involved in putting your wheels into even 6-10 inches of water are pretty substantial, and there is a real chance of tearing off the gear or losing control of the aircraft in the last few seconds.
Even if the actual landing is uneventful you will be left to contend with being in the water while evacuating the aircraft which adds complexity to an already difficult situation (and if you're far enough out that the depth of the water is measured in feet you're going to have to swim back to shore once everyone is out of the aircraft).  


  "Ditching" an aircraft in the water is a subject worth looking into on its own. Smarter people than I have written and spoken volumes about it, but as Skip Miller pointed out we don't really have a lot of hard data.