I used to just add some blocks inside the water and once removing them again the water would drain away. But since 1.2 (or at least since i last played) this does not work anymore, the water just reappears behind the block.
I currently just want to make a shaft downwards without water in it.
Even before 1.2, this was fixed so that blocks no longer take the space of water. They simply 'hold' the water. This means you can no longer eliminate pools of water by burying them, which means more work for Hellivator Diggers.
What you can do is create a side-shaft to drain the water into. If you're dealing with a large pool, you may want to build walls on either side to block out most of the water. Then, just build a shaft long enough to contain the rest of the water and let it flow in. Wall it up and keep digging your downward shaft.
If it's a relatively shallow pool though, just dig a trench near the bottom to drain it away from your shaft, then continue construction.
Do not forget about this water though, as it will be VERY useful later for getting through Lava. Pouring your pools of water over it will form obsidian, which you can then mine out to continue your shaft downward. You may even want to have it follow you down to the bottom, digging out occasional air pockets so that your giant pool of water will be available immediately when you reach Lava levels.
