How can I fix a leak in the pipe coming out of my water heater?
The first thing to do is verify where the leak is occuring.  It could be occuring higher up and just dripping from the fitting (though it is very likely that it is the fitting leaking).  Dry the entire pipe off and then watch for water.

Assuming it is the compression fitting, the first thing I'd try is tightening it by 1/8 to 1/4 of a turn.  As gregmac mentioned in the comment, over tightening a compression fitting can damage it and cause leaks.  It could be that it is already over tightened in which case the damage is already done.  

If this does not help you will likely need to replace the fitting.  I can't see what is above the compression fitting so I don't know if it can be replaced by itself.  There might also be damage (either corrosion, or just from the compression fitting being too tight) to the pipe where it meets the fitting in which case you'd have to replace a portion of the pipe too.

I would also be inclined to peel that tape off to see what it is covering.  If there are pinhole leaks this can indicate an electrical grounding issue.