No matter what someone says about glowsticks being non-toxic, do not cut open a bunch and pour them down the slide. Yes they are non-toxic, that just means they won't kill you. If the fluids get in your eyes or if you drink some, you will not be feeling good and you'll end up with a great deal of sick kids.
If you're using clear plastic sheeting that you're running the water down, laying strings of rope lights underneath might be the best bet. Water will cary light similar to fiber optics, so a couple of coloured spotlights shining in line with the slide will give a glowing appearance.