The Floaty Donut is an essential item obtainable in Phoenotopia and Phoenotopia Awakening. Once Gale obtains it, she'll be able to swim in water without drowning, although wearing it does make Gale feel a little embarrassed.
In Phoenotopia, the Floaty Donut can be bought in Misty Gorge for 60 Rai, as that's the first area where water becomes a major obstacle. Once Gale has the Floaty Donut, she's able to swim across the surface of the water and can jump at any time, but can't attack while she's in the water. Jumping out of the water also uses up Stamina so there is a slight cooldown period before she can do so again.
The Floaty Donut returns in the remake. It can once again be bought for 60 Rai, this time in Moonlit Ravine which replaces Misty Gorge in the remake. This time around, it can also be used to dive underwater; this can be done by jumping into water from a high ledge, which allows Gale to plunge underwater for a few seconds before floating back up to the surface. Jumping from a higher ledge allows Gale to dive deeper for a longer time.