what you can do is place a trigger collider on the water (mesh of box) and instantiate a splash prefab (one shot particle emitter) at the point of contact. Also if the water is perfectly level like in a small lake you can set the exact height of the water, otherwise you'll need to use a raycast to fine the surface point e.g.

var splashPrefab : GameObject;
var splashPoint : Vector3;
var waterHeight : float = 2.0; // the height of the water if it doesn't move

    function OnTriggerEnter(other : Collider){
       if(other.gameObject.CompareTag("player")){
          splashPoint=other.transform.position;
          splashPoint.y = waterHeight;
          Instantiate(splashPrefab,splashPoint,other.transform.rotation);
       }
    }

You can also do a 2nd splash which is smaller and use it with OnTriggerStay so it plays while the player stands in the water as well.