You might not think of water when you think of baking ingredients, but water is the base of most liquid ingredients: milk, cream, wine, broths, fruit juices, egg whites, etc.

Without water, gluten doesn't develop. Unless you're making bread or strudel dough, you don't really want a lot of gluten development, but most of the time you'll want a little bit to form to keep your pastries and cakes from being too crumbly or literally falling apart. Along with egg proteins, gluten forms the main structure of baked goods.

And, while we don't often consider this, you couldn't mix all of your dry ingredients together into a batter without liquid. Water is the "universal solvent" for a reason--many, many solids dissolve in it. Without water or other water-based liquids, you couldn't make simple syrup or pâte à choux or cake or pudding. Water allows proteins the space to unravel and reconnect in ways that are just not possible when ingredients are in a dry state.