There are two good places, neither of which is the Ashokan Reservoir. If you jump into, or even swim in the reservoir, you could receive a fine/ticket. It is illegal to swim in the reservoir, or even enter NY DEP water supply land without the specific purpose of fishing. Annoying laws, yeah.
Anywayyyy the best cliff jumping, by far, is Fawn's Leap. Check out some videos on YouTube. 30-40 ft jumps from cliffs into a sweet hole. This is between Saugerties and Tannersville, and is the "scene" of cliff jumping in the Catskills.
The other option is Blue Hole, which is actually not cliff jumping at all. Instead it is a great mountain swimming hole (rated #7 swimming hole in the US according to Travel Magazine), and has a really sick rope swing. The rope swing is about 40 feet out, then a 20 ft drop. Well worth it! This is directly across the road from the parking area for Peekamoose Mountain, and not far from the Ashokan Reservoir.
If you want directions to either of these places, feel free to PM me.