The February 2010 issue of Popular Science has an article by Dan Koeppel about surviving a 35,000 foot freefall.
On choosing where to land:
Contrary to popular belief, water is an awful choice. Like concrete, liquid doesn’t compress. Hitting the ocean is essentially the same as colliding with a sidewalk.
…good to know.
I’d link to this article, but I can’t find it on Popular Science‘s website. I read it on dead trees.