It wont be unboundedly fast e.g. due to the viscosity of the water.
In addition, I'd like to point out that you won't have the cylinder of water. Water will accelerate with gravity as it falls. The density of water is constant. The total flow of the water at different height is constant as well. So the area of the water's cross-section will decline.
For thin stream of water from a kitchen tap, surface tension force is enough to keep the water flowing in one stream, but the thickness of the scream decreases, take a look here.
However, as you increase the initial radius of your stream, the water mass (~R^2) grows while the pressure gradient created by surface tension forces (~1/R) declines. That's why the cylinder will pretty quickly separates into multiple streams, and eventually into droplets..
According to the conservation of energy, we cannot create or destroy energy, we can only transform it from one form to the other.
So this justifies that gravity doesn't have an infinite source of energy which never runs out! So it must be getting this energy from somewhere else, right?
Let's take the example of a ball dropped from some height. Gravity of the earth pulls it downward, doing work on the ball and giving it kinetic energy. The question you ask is where did it get this energy from?
Go back a step and think about how this ball ended up at such a height? You lifted it up with your arms, and put it on that height. Your arms did work against gravity, spent some energy to put that ball on that height. Where did that spent energy go? This was given to gravity!
When you do work against gravity, you store energy in the gravitational field as gravitational potential energy, which then gravity uses to do work on that object.
In case of hydro power-plants, the sun is giving energy to the water at sea level, to evaporate and rise(in effect doing work against gravity), which ultimately ends up in dams at a higher height, and then falls converting that initial solar energy to electricity!
Best Answer
Since you say you are new to physics first of all let's state what energy is. It is defined as the physical quantity which measures the quantity of work a body can do. Work is the product of a force and a displacement along its direction. It can be thought as the "effort" you (in general the force) have to do to move an objet by pulling it.
In this case the type of energy the water gets when falling is kinetic energy, that is the energy that a body has due its motion. From motion comes a possibility to do work and this happens when the body slows down. As an example you can consider a bullet moving towards a can; when the bullet hits the can it slows down and the can starts to move, what happens is that the bullet decreases his velocity and thus loses kinetic energy while it does work on the can. Doing work on an object entails transferring energy to it.
As you correctly said energy cannot be created, so where does the kinetic energy of the water come from? There must be a force doing work on it and so transferring energy to it. This force is the gravitational force, i.e. the force that "pulls" all the objects towards the ground.
To see this as an energy transfer we can consider an energy that accounts for the possibility the gravitational force has to do work on an object. An object is said to have gravitational potential energy if the gravitational force can do work on it and depends on the mass of the object and height. So what happens during the fall of the water is the transformation of gravitational potential energy in kinetic energy.
To put this into formulas the kinetic energy is given by
$$E_k=\frac{1}{2}mv^2$$
and the gravitational potential energy is given by $$E_g=mgh$$ where m is the mass of the object (here the water), v is his velocity, h is hi height and g is the acceleration due to gravitational force.
While the water falls v increases and h decreases, so the kinetic energy increases and the gravitational potential energy decreases, and this happens in a way that the total energy is always the same. (If there is no friction).