In Gingitsune episode 11, they mention something called Misogi, what is it? What is a Misogi? One of the characters mentioned that she thought it was only performed in the ocean or under a waterfall.
Misogi is a Japanese mountain ascetic practice of ritual purification. This may be undertaken through [...] standing under waterfalls, or other methods. - Wikipedia

This practice can also be seen in other Anime, like Sailor Moon episode 105.