With two theoretically perfectly configured heating systems in identical houses, one hot air and one hot water, I would be fairly confident that both would be the same humidity. The only real difference is that hot air systems bring the air to the heating element where the hot water system brings the hot element to the air.
In practice however it is probably likely that many hot air systems are actually drier. I'm not 100% positive of this but from what I know it could be likely. My logic is that this could be caused by higher rates of air infiltration into the house in hot air heated houses. Outside air infiltration will tend to keep the house dryer than it would otherwise be. It is common for hot air houses to have an imbalance between the supply and return side of the system. If there is more supply duct than return you get a slight positive air pressure in the house. If there is more return air ducting than supply then you can get a slight vacuum inside the house. These conditions can be created and/or made worse by leaky ductwork in unconditioned spaces and also by leaks from overpressured rooms, where there is no return or enough space under the door. Both of these situations can cause air infiltration that can lower the interior relative humidity. Overpressure will push air out of the house and outside air will "make up" the difference - slight vacuum will suck some outside air into the house. My details may be a little sketchy but I know it is easy for these conditions to exist.
I personally prefer hot air systems because of; 1. the quick turnaround from cold to hot if you set back the thermostat when you are out; 2. Easy to have central air conditioning in the same ducts; 3. Easier to implement whole house humidifier. Air leaks are easy to control in the design and installation phase. See: http://www.jlconline.com/jlc/archive/energy/forced_air_heat/ (both pages) Both hot water and hot air houses need humidification in the winter in cold climate areas. It is so easy and cheap to do this in hot air houses that I think this is enough reason to go this route. This is my personal opinion. I have a humidifier on my furnace now and have no dry throat in the morning - it is wonderful.
There might be some other small factors between air and water, such as: Assume both houses have the same dry winter relative humidity. The Air house might "feel" a little dryer because it has more air movement inside from air blowing out of registers. Moving dry air will dry your skin, etc. faster than still dry air of the same humidity. I think this is a minimal influence but could be somewhat significant in a house that had the furnace fan blowing much too hard. Many homes in the south have fast fan speeds because their systems are optimized for AC. AC works efficiently with a higher volume of air, so it dehumidifies for of it more frequently. Air heat is best at a slower speed to increase the efficiency of heat transfer to the air which will create hotter supply air and less drafty feeling and moving drying air from whistling registers. If done right, hot air is fine and has many other plusses.