On land, you instantly lose water to evaporation, and every cell exposed to the air begins to dry out. A protective outer layer of epidermal cells, or a thick cuticle helps prevent this. Animals have skin. Respiratory surfaces must be kept moist in order for gases to be dissolved in water and enter the cells. That's why our lungs are on the inside.
Desiccation also poses a problem for reproducing on land.
When it came time to reproduce in the water, you could just dump all your gametes overboard, and let the currents do the rest. The larvae would develop in a nurturing saline bath, the ultimate womb of the ocean. But terrestrial organisms must find a way to keep their gametes from drying out. Aquatic organisms can rely on external fertilization. Terrestrial organisms have to develop some sort of internal fertilization to guard against desiccation.