What lens can I use to capture water splashing?

Nikon d series

Sony alpha

It doesn't depend much in the the lense, but in the shutter speed and aperture to freeze if that's what you want. With a short lens perhaps you need a diving fur, with a long one a shirt and a tie

You don't need a particular lens. You just simply need to have a very fast shutter speed. Set it on the shutter priority (on Nikon it should be the "S" on your turn dial) and set it for say 1/200 second to freeze motion as depicted here: http://t0.gstatic.com/images?q=tbn:ANd9GcT0c1IXyC4xue85QT3fa6UnyJlsCn6xTZEgtZz3LP15rEQHVb8f_w
Doesn't necessarily have to be that fast, but it's a good place to start.
Also, if you want to blur the water for a more smooth effect, place your camera on a tripod and use a slower shutter speed, such as 1/15 second to obtain a photo similar to this: http://t0.gstatic.com/images?q=tbn:ANd9GcQ9IFusFmiXiyy7h2YSa-FdYy1V_T22J8LRMHNTVsynwQdS8Znc

Hope this helps!

Anything that goes beyond 35mm is useable.