I joked that it's because the sea is goddam scary and we're less likely to find things with tentacles in space.
But it's still a good question. Space exploration gets a lot more love from entertainment, pop culture, and news outlets.
That said, spacecraft seem to get lousy fuel economy compared to submersibles.
A bunch of data isn't science, but it's a start.
I guess it's a problem that most submarines are military vessels - they could collect lots of data but releasing that data is tricky.
1. http://news.nationalgeographic.com/news/2012/03/120325-james...
Also to record subsea date you dont need a manned submarine, ROVs are used day in day out and now AUVs are used more often.
I'm sure there are hundreds or even thousands of bizarre and interesting species to be discovered, but the likelihood that any of them will be impressively large is very slim.
So there is hope for finding some Great Old Ones after all!