Rheo stars Bernoulli, a cutsey anthropomorphized body of water who transforms into the different states in the water cycle based on temperature. These transformations give him different abilities. In water form, he does not get hurt by spikes, but in Ice form, he can't walk as fast.
The other characters who appear in the game are an evil species of sponge that try to absorb our double-hydrogened hero. Only ice form can kill them and only when they're stomped on from above!
For more info on the story that inspired the game, see the original concept document and early pitch presentation.