During the Poseidon Challenge in the Temple of Pandora you will get the trident that allows you to breathe underwater.
As you progress in the underwater areas, the game will point out the first of ~3 Nyads (mermaid like creatures) floating in the water. Simply swim up to the creature and press "O" to pop this trophy.
Also note that 1 or 2 of the other "hidden" (poorly
) Nyads will give you phoenix feathers.