Partial answer re: depth charges, underwater sound and shockwaves
People have commented several places that being underwater may make shockwave effects worse because it is a known phenomenon that water transmits shockwaves somehow "more" than air, and the human body contains hollow air-filled structures (lungs, sinuses) where energy will be deposited.
I'm not confident in my knowledge, so I'm hesitant to say anything, but I think this is a mistake that doesn't need an expert to correct, and which will be clear once anyone thinks about it. This also may be a bit long winded since I'm talking myself through it as I go.
what's going on with depth charges
Water doesn't magically make sounds more energetic. Energy is energy and the inverse square law is the inverse square law. So why can submarines or whales detect sounds many kilometers away with great clarity? Why are underwater explosions so harmful? Why can the clicks of whale communication be harmful to smaller animals like humans?
First let's define harm in a language we can do physics with. Harm is something that has to do with energy deposited into a target much more rapidly than the target can dissipate or radiate energy. Physical structures in the target can be approximated as locally stable energy equilibria. Breaking them means pushing them from that equilibrium, up and over the edge of an energy well.
How you apply the energy affects how fast it can be dissipated or radiated - for instance, shooting a high power laser pulse at somebody might vaporize part of their skin, but steam will carry the energy away as fast as it is put in, so the injury will be superficial. Shooting an equivalent energy bullet at the person will shatter bones and rupture organs, because there's no mechanism for the energy to escape as fast as the bullet is putting it in, except out through the exit wound with what's left of the bullet. Conversely, a high school pitcher throwing a baseball at a person has the same mechanism (physical impact of a mostly rigid object) and the same energy as a handgun bullet (around 500 joules). But it applies the energy much more slowly because of its much lower velocity. Even if it strikes a rigid, small-area structure like the forehead, it will leave only a bruise.
Pressure waves deposit energy into a target. We can therefore infer that, all other things being equal, more energy in less time means more damage.
As I said at the beginning, energy is energy and the inverse square law is the inverse square law. Immersing a bomb in water doesn't make it more energetic. Bombs are solid objects with a well defined minimum radius, so there's no way to cheat the inverse square law. Let's use an old timey spherical bomb: the total energy at the surface of the bomb, is (approximately) the same as the total energy at any larger spherical shell, and the ratio of energy densities is the same as the ratio of squared radii.
So underwater we are doing more "harm" - that is, more energy in less time - with the same energy. It is the speed (literally) with which we are applying that energy that makes the pressure wave more harmful.
The speed of sound about 5 times larger underwater than in air. I have no idea how or if supersonic shockwaves work underwater, but suppose that in any case all pressure waves created by a given explosion propagate much more quickly underwater than in air, and therefore deposit energy in the target much faster than an equivalent energy density pressure wave in air. Same energy flux in less time equals more damage.
so what about in-air explosions underwater
Now let's say we detonate the same bomb above the water surface. Suppose for the sake of argument that no energy is reflected at the water-air interface. (This is not realistic - in reality most energy is reflected at the interface.)
The water can't transmit energy to a submerged target any faster than the surface of the water receives energy. That would violate energy conservation or at least require the water to have some mechanism for storing the energy for delayed release. In terms of power flux, then, the power flux through a target's cross-section at some distance $l$ from a surface which is itself a distance $r$ from the source of an in-air pressure wave is somewhere between the power flux at a distance $r$ from the source in air and the power flux at a distance $r+l$ from the source in air.
If we're 1.5 meters under water, ignoring other factors, our power flux is some value less than what it would be at the surface, and more than what it would be another 1.5m away from the weapon in atmosphere.
That would be a big range if you're talking about a bomb 3 meters away, and experiment or calculation would be needed to determine whether you'd be better off in air or underwater. But we're talking about a bomb at least 3 kilometers away - otherwise we're already dead no matter what we do. Our maximum increased power flux from diving 1.5m instead of walking 1.5m is $1-(3000m)^2/(3001.5m)^2 \approx 0.001 $ times more power flux.$^1$
So, in terms of power flux, water needs only to reflect less than 0.1% of incoming energy in order for you to receive less "harm" than someone standing at the same radius in air.
what about the human body interfaces?
Okay, but maybe there's something about getting hit in water that makes a given pressure wave power flux worse in water than in air. Pressure waves deposit most of their energy when they reflect at interface changes, so in water, your arms, legs, and guts will mostly transmit the energy unperturbed, while your lungs and sinuses will mostly reflect the pressure wave, and therefore the pressure wave will deposit lots of energy in those places. One imagines that one's lungs and sinuses might be more fragile than arms and legs, even accounting for how the articulation of the body will transmit most of that energy to vulnerable joints.
Again, this is a mistake that is easily seen and I don't need to know anything about the relative structural strengths of lungs and joints to know it. All I need to know is that in both cases, there are the same number of interface changes made of more or less the same thing.
That is: suppose a human is a bag of water (flesh, bone, etc) around a bag of air (lungs, sinuses)
If you are hit by a pressure wave in atmosphere, there is an interface change at your skin and a second interface change at your lungs. At the first interface (air to body) a certain amount of energy is reflected, a certain amount is deposited at the interface, and a certain amount is transmitted. The transmitted amount reaches the second interface (body to lungs). A certain amount is reflected, a certain amount is deposited, and so on.
If you are hit by a pressure wave in water that originated in atmosphere, there is an interface change at the surface of the water and a second interface change at your lungs. At the first interface (air to water) a certain amount of energy is reflected, a certain amount is deposited at the interface, and a certain amount is transmitted. The transmitted amount reaches the second interface (body to lungs). A certain amount is reflected, a certain amount is deposited, and so on.
Which would you rather absorb whatever percent of the energy is deposited by the wave on the air-to-water phase transition? The surface of the water, or your body?
Now, it may be that the energy deposited at the surface of the water is, in practical assessment, as bad for you at a depth of 1.5m as if it was deposited to you directly. Water deforms and a cataclysmically violent event like a large bomb might blast all the water away with a fraction of the energy deposited to the surface, making there be no practical benefit. I don't know. But surely, it's not significantly worse for the energy to be deposited, at least at first, a distance 1.5m away from you than inside your own body.
1: It's more complicated than this because of ground effect (the ground reflects most of the energy, so shockwaves propagate along the ground with somewhere between $1/r$ and $1/r^2$ dependency). And because of barriers (as noted in my other answer, taking cover behind something heavy and solid will cause a drastic reduction in the amount of energy you're exposed to, and the surface of the planet is a very heavy and solid thing to hide behind). But for a general idea of why 1.5m of distance doesn't matter much, I think it's true enough.