xkcd, the nerd's favorite web comic, has a wonderful infographic comparing the depths of the worlds lakes and oceans, with a few other things for scale, like the Titanic, Edmund Fitzerald, and Deepwater Horizon well: Lakes and Oceans.
If you hover your cursor over the graphic, you get some additional text -- this is true for all xkcd comics.
Also, if you click on the image itself, you get a large format version (so you can actually see the details). Here's an intermediate/zoomable version, from Gawker.com.