I am with Zacker, I would shoot it on manual mode (I always shoot on manual mode)
I would use a decent ND filter, bright sunshine or heavy overcast. Drop the shutter down to like 1 second, drop the ISO way down to the lowest setting, take a shot, and adjust from there. I usually try to get the shutter down to somewhere around 2-5 seconds. Just get the shutter down to where you get the water the way you want it first, then raise your F stop up until you get the rest of the photo the way you want it.
Play around with your white balance also.
Just depends what you are looking for, something like this
Or maybe looking for something a bit more extreme (though this would difficult to do with a fast flowing falls, this was just a sort of slow moving creek with a few rocks for the water to flow over)
Nikon D200 w/ battery grip
Feisol CM-1471 Monopod
Kenko Extension Tubes