The Nachi and Kii-Katsuura area has several sights grouped around the sacred Nachi-no-taki, Japan's highest waterfall (133m). Nachi Taisha, near the waterfall, was built in homage to the waterfall's kami (Shintō spirit god). It is one of the three great shrines of Kii-hantō, and worth the climb up the steep steps to get there. Next to the shrine, Sanseiganto-ji is a fine old temple.
The most atmospheric approach to the falls and the shrine is the fantastic tree-lined arcade of Daimon-zaka (大門坂). To get to Daimon-zaka, take a bus from Nachi or Kii-Katsuura Station and get off at the Daimon-zaka stop (ask the bus driver to drop you at Daimon-zaka and he'll point you in the right direction from the stop). The way isn't marked in English, but it's roughly straight uphill just in from the road. From the bus stop to the shrine is roughly 800m, most of it uphill. It's fine in winter, but in summer you'll get soaked, so consider doing it in reverse (check bus schedules carefully before setting out).
Daimon-zaka takes you up to the steps at the base of the shrine. After visiting the shrine, walk down to the falls. At the base of the falls is Nachiyama-oku-no-in, where you can pay ¥300 to hike up to a lookout with a better view of the falls.
The Nachi-no-Hi Matsuri takes place at the falls on 14 July. During this lively event, mikoshi are brought down from the mountain and met by groups bearing flaming torches.
Buses to the waterfall and shrine leave from Nachi Station (¥470, 17 minutes) and from Kii-Katsuura Station (¥600, 25 minutes). Buses to the Daimon-zaka stop leave from Nachi Station (¥330, 11 minutes) and from Kii-Katsuura Station (¥410, 19 minutes).