Planting depths will vary depending on the cultivars and recommendations for individual lilies can be found on their detail page in the Water lilies and deep water plants category. Planting depth is measured from the top of the rhizome/basket to the surface of the pond.
Dwarf (Pygmaea) and smaller lilies will do best between 15-25cm (6-10in) and most other Water lilies will thrive between 30-60cm (12-24in). Some of the larger varieties especially where the plants are more mature have a sweet spot of 45-75cm (18-30in) but can be planted up to 90-120cm (36-48in).
Even larger varieties will grow in shallow water although they may not flower so well. If a lily is planted too deep it will struggle to grow and may not flower as it will use up too much energy getting to the surface. The deeper a lily is planted the less it will spread across the surface of the pond.
Young or immature lilies should be taken down to their ultimate depth in stages, using bricks as a temporary 'pier' or platform initially to hold them at a shallower depth. Lilies in active growth can be placed with their leaves a few inches under water if need be, as they will stretch over a few days to reach the surface.