Nicols Falls
This is a great canyon to explore! Nicols Creek and the Falls are embedded in lush New Zealand green rain forest. Being so close to the center of Dunedin, it's really hard to not want to check this place out. For a bonus head here at night to check out glow worm canyon, little spots of luminescent dots all around you.
Directions
Really easy to get to with a quick 10 minute hike. From Dunedin, head up Leith Valley. After the intersection with Malvern St, you will cross a bridge, park up on the right hand side of the road. Walk back over the bridge and you will see a gate and a sign for the Waterfall. Don't get this confused with the MTB trail on the side of the bridge that you parked on. Clamber up the hill for a fair 10 minutes and you will find a beautiful waterfall.