Hmm, I don't know.
Suppose you build a tube (radius = 100 m) out of concrete where the water is 200 m deep. If I'm not mistaken you could then store up to this http://www.wolframalpha.com/in... much energy in watt-hours. That's not a lot in the big scheme of things. To store one terrawatt-hour you would need a tube that's 2.5 km in radius, or lots and lots of smaller tubes.
Unless I messed up my high school level physics calculation there.