A hydroxyl group is a very polar group, due to the electronegativity difference between the O and the H atoms. Also, due to its bent structure, the dipole set up is not cancelled out by another dipole. This makes ethanol a polar molecule, which is easy to dissolve in water.
Ethane has only C-H bonds, which, by their nature, are not very polar. Also, all dipole moments cancel out due to the symmetry of the ethane molecule, making it a non-polar structure. Non-polar structures rarely, if ever, dissolve in water.
