It's a dirt leg -- also known as a sediment trap. Supposedly, it prevents small particles of dirt or rust from getting caught in the gas control, possibly keeping it from shutting off (and therefore filling your house with gas, which explodes when it reaches the flame under the water heater.)
I don't know why, but I just like it. So utilitarian.
Also, there just don't seem to be a whole lot of photos of dirt legs on the Web. So consider this my duty to the internets.