A lot of the time you'll find pieces of jewelry already enchanted with useful enchantments, either on dead bodies or in chests while you're exploring dungeons. But if you find that you need something now (such as something to help you breathe underwater or see in dark places, for example), then you can enchant pieces of jewelry or clothing with appropriate spells. You just need to have the spell in your inventory and have the necessary skill level to use the spell, and of course, access to an enchanting altar.
So, what am I talking about? For all of the things below, you only need a filled petty soul gem as the effects are constant.
Breathing underwater: Enchant any ring, necklace, piece of clothing or armor with an underwater breathing spell.
Walking on water: If you want to skip across the water, enchant anything with a water-walking spell (I find shoes are good for this)
Seeing in the dark: Well, a light spell enchantment would work, but if you're a sneaky type, there's a big chance that you'll be spotted, so I suggest using the Night Eye enchantment instead. The downside to this is that everything has a bluish cast, so it's hard to tell where the dark corners are to hide in.
Now, for spells that might need a more powerful soul gem.
Feather: You can make feather clothes by using soul gems and the Feather enchantment. Or....
Use Grand soul gems and enchant some jewelry with Fortify Strength, which will also allow you to carry more, and also gives you more oomph when fighting. Maybe enchant a whole suit of Bound Armor with that for a nice boost to carrying power.
So, you see what I mean about useful enchantments. And I haven't even listed half of what's out there, just the ones I use most. I'm sure you can use your imagination and come up with other things yourself.