As per most of the stories I know, witches usually burn when they come into contact with water.
Why is this so and what is the origin of this myth? Also,why do witches burn? What about wizards?
TLDR This belief doesn't come from a myth it first appeared in Wizard of Oz.
I think the first time this belief was stated was in the the Wizard of Oz rather than in any myths. The belief probably comes from older myths/customs surroundin witches that were drawn upon to create this idea for the Wizard of Oz.
1) Water used to find witches. This took 2 forms. A suspected witch would be tossed into a pond with feet and hands bound and if she floated she was a witch. A more likely origin for the burning in water idea though is a second method to find witches. The suspected witch placed her arm in boiling water the wound was then bound with a bandage. After a week the bandage was removed and if the wound was healed they were innocent as God had healed them. If not they were guilty.
2) Holy water was used to keep away witches. People would put holy water on their door to keep out witches. This happened in Catlan traditions as at new Year according to Catlan folklore witches are supposed to come and steal children away unless precautions were taken including sprinkling holy water on entrances and exits.
3) Witches in Catlan folklore were often scared of water as washing them would reveal the devils mark showing them to be a witch.
On the other hand I doubt Catlan folklore had witches die in contact with water since a ritual to become a witch involved bathing in saltwater which would not be a safe pastime if ware killed them.
This is a story thread in Robert Burns's poem 'Tam O'Shanter' from 1791. Tam is spirited safely by his mare Maggie to a bridge, and the pursuing witches cannot follow him across the water.