I usually heat my bathing water with electric heating rod, I always thought that the base of rod is an insulator so that it can develop high heat. But when I tried touching water while rod was dipped in it, I got current, damn! Why that happened? I am talking about this type of rod :
This device looks like a inherently bad idea safety-wise, for the reason you found. I don't know what exactly is inside the handle, but you have to assume all it is doing is connecting wall power to a resistive heating element.
I imagine the outside of the heating element is intended to be insulated from everything else. (By the way, this has nothing at all do to with its ability to make heat. In fact, the heating element can't be made from a insulator else its resistance would be high and no heat would be generated.) Even if that insulation is intact and working, there could be some capacitive pickup from the input power to what appears to be a metal jacket of the heating element. This is what you may have felt.
However, if water got into the handle part, then all bets are off. It is probably sealed, at least enough to look sealed or pass some sort of test when new. I would be very careful to never let the handle part get wet anyways. Stuff happens. Does the power plug have two prongs or three? If three, maybe the metal jacket around the heating element is grounded. That would help in most cases, but can also make things worse in other cases.
Clearly something is already not right with this device if you felt a shock. I would ditch it, find a proper way to heat water, and move on. If think Murphy's law and the laws of physics don't apply to you, then at least only use this device on a circuit with a ground fault interruptor or with a separate isolation transformer.
The reason why you got electric shock is because the way you kept it in the bucket is improper or device is faulty. You might have noticed that there is an aluminum hook along with the plate extending which marks min and max water level marking. It should be in contact with water. This plate and hook is connected to earth. It ensure water in the bucket is earthed. I opened it to see. I can't attach a picture. Try yourself opening. It only ensure you are safe only when earthing of your home is good. It should have been designed such a way that it will work only when earthing is proper. Almost all these type of water heater has same arrangement inside. And so its not a safe device. As Olin mentioned earlier it cant be made out of insulator just because it doesn't heat up as required.
"I always thought that the base of rod is an insulator so that it can develop high heat. But..."
Let me correct you here:Base isn't an insulator moreover if it is then heat generated($V^2/R$) will be very low. The device you shown has heating elements covered with aluminium at the base.
Usually house hold AC Current flows from phase terminal to the neutral terminal through the Load and connecting wires connected between Phase and neutral terminal. A ground wire is always connected with such kind of electric equipments. If you felt current then it means ground wire connection is missing from the equipment or is faulty.
Water is acting like a resister connected in parallel with the rod. When you touched the water some current flown from phase terminal through water and your body towards the Earth.
Remaining part of total current gone to the neutral terminal. Since an average human body and bathing water are not of very high resistances so some observable current flown through your body which is fatal for your body.
A similar situation is shown here: Body of drill machine and the person acts as a parallel resistance to phase terminal.