jdsgn: Is there a convenient way of getting rid of water?
I tried draining it in lava but that didn't work, some impenetrable stone was created...
Water + Lava = Obsidian.
You will need at least a Nightmare/Deathbringer Pickaxe to mine it. Or you can use bombs/dynamite to blow it up. You will get the materials to make a Nightmare Pickaxe after defeating the Eater of Worlds (available if you have Corruption in your world) and the Deathbringer Pickaxe after defeating the Brain of Cthulhu (available if you have Crimson in your world). You're almost guaranteed to need one of those two pickaxes anyway since they're able to mine Hellstone, you'll need that and Obsidian to make Hellstone Bars which is the main component of the highest quality pre-Hardmode gear.
But if you just want to completely remove water, mine all the way down. Water will start evaporating if it flows in the Underworld.