We present the first results from a long-term campaign of water vapor monitoring at the Roque de los Muchachos Observatory (Canary Islands, Spain). This observatory is situated on a volcanic peak, on the small island of La Palma. Although its altitude is relatively low (2400 meters), our initial site-testing, taken for site selection for the Spanish 10m telescope project, shows that a significant fraction of nights have water vapor column of 1mm, or lower, with values of 2mm and lower being relatively common, even in summer. The water vapor column can be stable at under 1mm for several nights, with only minimal variations. We contrast the results obtained using an infrared radiometer (on loan from Kitt Peak National Observatory), with those obtained using the 940nm water vapor line and comment briefly on plans for future automatic monitoring of water vapor at the observatory.