Variable ND filters, like good tripods, can be pricey. Don't skimp. If you do, you'll probably be disappointed with the results, which will result in you spending more money in the long run.
Second Most Important Filter. A polarizing filter is important, too. It can reduce reflections on the water, reducing the contrast range, and also letting you see through the water. Yes! Don't skimp on this filter.
Expose For The Highlights. As always, you want to expose for the highlights—the brightest part of the scene. This can be tricky in waterfall photography, due to reflections.
After you take a shot, check your highlight/overexposure warning to make sure you have no "blinkies" on your camera's LCD monitor. Also check your histogram to make sure you don't have a spike on the right. The quick fix for both blinkies and a spike is to reduce the exposure.
Keep Dry. Often, there's spray around waterfalls. Protect your camera with a rain cover or plastic bag. Also, keep a microfiber cloth handy, and clean your lens from time to time. One tiny water droplet can look like a big blob in your pictures.
You also need to keep yourself dry. I use collapsible boots called Neos that slip on over your shoes. These boots come in handy when you're climbing around wet areas and, of course, when shooting while standing in the water.
Rick Sammon a regular here at Digital Photo magazine. For more info on Rick, check out his website: ricksammon.com.