I assume the water in New super mario bros works the same as in the first part of this tutorial: http://gamedev.tutsplus.com/tutorials/implementation/make-a-splash-with-2d-water-effects/

But in new super mario bros the water also has constant waves on the surface, and the splashes look very different. What's also a difference is that in the tutorial, if you create a splash, it first creates a deep "hole" in the water at the origin of the splash. In new super mario bros this hole is absent or much smaller. When I refer to the splashes in new super mario bros I am referring to the splashes that the player creates when jumping in and out of the water.

For reference you could use this video: http://www.ign.com/videos/2012/11/17/new-super-mario-bros-u-3-star-coin-walkthrough-sparkling-waters-1-waterspout-beach

just after 00:50, when the camera isn't moving you can get a good look at the water and the constant waves. there are also some good examples of the splashes during that time.

How do they create the constant waves and the splashes?

I am programming in XNA.

(I have tried this myself but couldn't really get it all to work well together)

(and as bonus questions: how do they create the light spots just under the surface of the waves, and how do they texture the deeper parts of the water? This is the first time I try to create water like this.)