If you build a fortress on the "water" tile, that tile suddenly becomes possible to traverse. You build the fortress on a biome that juts out into the ocean one. I use that trick to keep the goblins from taking over the world and then let them out by building a bridging fortress. Note that the fortress does not have to provide a physical passage across the water: it's sufficient for it to be present in the world tile to change if from impassable to passable. I then retire the bridging fortress and build my "real" one on the goblin side (for goblinite mining), and the "real" fortress gets access to human and elven caravans, which wouldn't be available without the bridge. Obviously, my worlds are PSV defined, so I can place the bridge and the races where I want them. I also tend to have to regenerate the world until the bridge tile actually gets some land to build on.
Thus, currently a physical structure doesn't add anything, but a fortress does (I don't know about adventure sites). I think the same kind of bridge can be created to provide access between two sides of a mountain range as well, although I haven't tried it.
There are some cases where building a bridge fortress does not provide access (visible in a failure to get access to the races at the other side pre embark) which somehow seems to be dependent on which direction the land biome enters the bridge tile, but I haven't understood the rules for that.