Water is really good at blocking proton radiation (those stray hydrogen atoms in the interstellar medium become really dangerous once you go fast enough). Plus you can drink it.
You also don't want to stop particle radiation too quickly, or you get x-ray Bremsstrahlung. So something a little less dense than steel works better in practice.
... yeah, and water your greenhouses (you're going to be in space a very long time), split it to generate O2 for breathing, etc. It's also probably a lot easier to find water to replenish your shield along the way, or at your destination, than steel or lead.
You also don't want to stop particle radiation too quickly, or you get x-ray Bremsstrahlung. So something a little less dense than steel works better in practice.