First, before I say anything about McWay Falls and Cove, watch this video...
Now that you've seen the video and really want to go, I'll tell you how to find it.
It's very close to the road, but you won't see it from there and can pass right by unless you know where to stop. I know this from personal experience.
There are two options for parking - you can pull into the entrance to Julia Pfeiffer Burns State Park (east side of road) and pay $10 at the day use lot. This way includes a short walk through an under-road tunnel to the viewing trail for the falls.
Or, you can park alongside the road. There is a fair amount of space either north or south of the park entrance. Then again, it could be full up if it's a busy weekend.
You may notice from the photos here or anywhere else that almost all of them are from the same vantage point and there are no photos looking up at the falls.
The reason for this is that access to the cove itself is prohibited. Better one view than no view at all.
The trail leads to a terrace which was the foundation of a house owned by the family that donated the land to the state. That would have been some house to stay in with such a wonderful view.
Occasionally sea otters and elephant seals can be seen in the cove.
Gray whales can be spotted migrating past this point in December and January and reportedly even sometimes can be seen at the mouth of the cove.
Though small, McWay Falls is extraordinarily beautiful because of its unique setting; like a tiny gem artfully placed in a surrounding that only heightens its brilliance.