Waterfall particle system

One thing to keep in mind is that the vast majority of games don't use particles for waterfalls (for performance reasons). What they usually use is perhaps a few meshes with animated textures (animated to flow down the mesh, for instance, and then maybe some fat particles for rising steam/mist at the bottom). And if it's done right, I think that a mesh waterfall just looks nicer (unless of course you start talking fluid PhysX, but Unity sadly doesn't support it).

Not to say you can't or shouldn't use only particles if it fits what you're doing. Just something to keep in mind.

I presume you're familiar with how to actually create a particle system in the editor, since it's one of the default objects you can create from the toolbar at the top. From there, it's a matter of fiddling with the settings in the inspector.

For performance reasons, you should use as few particles as you can get away with (low min and max emit rate) and increase the size of each particle. This can be done too much of course, resulting in too few giant blobs of water which would look really bad.

Make sure the assigned material for the particles is using one of the particle shaders, unless you have a good looking alternative.

You can use the particle animation component to animate the color of the waterfall during the life cycle of the particles. That'll be something you just eyeball and play by ear.

A separate emitter for rising mist at the bottom can help a lot. For rising mist, you can play with a few values like a light constant force on the Y axis, and maybe some random force on the X and Z.

I believe also in the particle animation component you can stretch particles according to their velocity. This might help you give the water an appearance of speed as it plummets.

There is a OK one in the standard assets in unity3 particleFX package.