Thanks WAS for chiming in on the masking, going to check it out!
Clouds can be considered "participating media", as they often refer to it in technical literature and is what I think WAS refers to with 'volumes'.
TG's water object and shader is indeed an infinitely thin plane with an approximation for volumetrics, but with different fidelities available.
A very crude non-volumetric one for standard rendering, a volumetric basic one for scatter towards normal and a fully volumetric one for scatter in all directions.
I think particles are actually not so common, except when simulating smoke/fire/water for animation. For still image work a volumetric shader suffices, because the 3d wireframe or volume shader defines the boundaries. In sumulations those boundaries are calculated from particles. The exception, of course, is when an artist chooses to simulate something for a still image, but then the shader itself is still a volumetric one.