On a trip to Sydney, I went for a hike in the Blue Mountains. My cousin was nice enough to take me out to the Valley Of The Waters area near Wentworth Falls. There are a number of hikes in the area, including the Darwin walk which is very close to the train station. The Valley of the Waters hike is located a bit out of town and is best reached by car.
This Book
The Hike starts from the parking lot and the Conservation Hut Restaurant (which has food and drinks -- although is a bit touristy). The hike is listed as "hard" -- since its basically straight down and back up without any easy "out" options.

The hike quickly descends down dirt steps under the eucalyptus trees. The day we went it was a fairly cool winter day (maybe about 60 degrees F). The trail is popular and is well maintained.






Make sure to bring water and sunscreen on this hike.
For detailed information on Blue Mountain hikes, check out this site. There are a couple good books on doing hikes (or "walks") in the Blue Mountains including this Lonely Planet book.
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Basics:
Area - Valley of the Waters - Blue Mountains (Near Wentworth Falls, NSW)
Trails - Valley of the Waters Track
Elevation - Drop of 265 meters
Length - 1.4 kilometers Out and back
Trail - Dirt trail and steps, metal stairs -- lots of stairs!
Bikes - Not allowed on this hike
View - Queen Victoria Lookout, Empress Lookout, and waterfalls
Getting There - Directions from Sydney
Fee- None, free parking
Other Trails - Lots, and there is a more popular Darwin Trail (which is very accessable from the Train Station)