It seems that the majority of alien species in Star Trek breathe oxygen-rich air just like Humans. The Benzites seem to breath some other mixture of gases, and I believe Jadzia mentioned a Hydrogen-breathing alien in an episode of DS9 once. But what's surprising given Star Trek's fascination with sentient aquatic mammals from Earth is the apparent dearth of sentient water-breathing alien species. I can only think of one: the Xindi-Aquatic.
Are there any sentient water-breathing aliens in Star Trek other than the Xindi-Aquatic?
Earth dolphins and whales are not water breathers, they're just really good at holding their breath. And they're not aliens to boot, so doubly disqualified. I'm not interested in any further commentary on dolphins or whales.