Methanol is slightly more acidic than water. Their pKa$\mathrm{p}K_\mathrm{a}$ values, in water, are 15.5$15.5$ and 15.7$15.7$, respectively. All other aliphatic alcohols, however, are less acidic than water.
Is the following reasoning correct? This is my best rationalization; is there anything better or anything that can be added?
In both hydroxide and methoxide, we have an O$\ce{O}$ bearing negative charge. In the former, we have a hydrogen attached to the O$\ce{O}$. In the latter, we have a carbon attached to the O$\ce{O}$. Carbon is more electronegative than hydrogen, therefore, carbon should be able to better withdraw electron density via induction from the O$\ce{O}$. This is a stabilizing interaction.
We often think of methyl groups as inductively donating, but that's molecular profiling. They can inductively donate to a C+carbocation, partly because a C+carbocation is highly electronegative, so the C+carbocation pulls the electrons toward itself pretty well (so there's both pushing and pulling of electrons going on). When you have a methyl group attached to an O$\ce{O}$, however, the methyl group is often inductively withdrawing. NMR data supports this.
Now the question is why aren't other aliphatic alcohols more acidic than water? In longer-chain aliphatic alkoxides, you don't just have a methyl group attached to the O$\ce{O}$ bearing the negative charge - you have a bunch of methyl groups strung together. These lessen the amount of inductive withdrawal that the alpha carbon can do. Each -CH2$\ce{-CH2 -}$ unit attached to the alpha -CH2$\ce{-CH2 -}$ is somewhat inductive donating to the alpha -CH2$\ce{-CH2 -}$.