go to Ilex forest
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in the ice cave
In HeartGold, you can find the HM Waterfall in the Ice Cave.
You'll find Waterfall in the ice cave... you'll meet a man there who's staring down at an item. Grab the item and it will be Waterfall.inside the ice cave when travelling to blackthorn city
Union Cave.
To name only a fewLaprasArticunoDelibirdJynxSneaselSwinubsat least I did see them in Soulsilver VersionMany of them were found in Ice PathArticuno deep in Seafoam IslandLapras deep in Union Cave and you will need Surf