Rules Question - Water Hazards and OB

[Warik]

Being a high handicap golfer, I should have already mastered the art of adding penalty strokes for encountering water hazards and OB... but then there goes Sean O'Hair at the Players Championship yesterday to confuse the hell out of me.

I've always thought that ending up out of bounds or in a water hazard from the tee meant I had to tee up again and take another shot with a penalty stroke. However... after O'Hair put his first ball in the water on 17, he took his next shot from just before where his ball went in the water, so now I'm confused. Have I been making it harder for myself this whole time when I ended up in the water or OB off the tee?

Could someone clarify this rule for me and tell me if the same applies to OB? I could have sworn I read somewhere that out of bounds shots off the tee meant I had to retee, but now I'm not sure.