How to climb down in minecraft?

Whenever i go to the nether, i bring about 3 stacks of dirt with me so i can jump-stack my way back up incase i fall down. You could do that, or make a cobblestone tower leading to your nether portal with a ladder leading to the bottom. Also, if you build a nether portal on the other side of the world it will spawn you somewhere else in the nether. There are lots of ways to get around this, you don't just need water.

Also consider a couple of stacks of sand. Use shift so you don't fall off and place the block next to the portal. It will immediately fall down to the bottom of the world. As long as it does't land in lava (which is distinctly possible in the nether) you can just keep putting sand down until you've built a pillar up to where you are.