The best thing about a cold shower is that when you get out, you feel to only get warmer, and it's very pleasing the sensation of thawing through. Whereas hot shower to coldish environment just makes me shiver.
I enjoy the best of both worlds: cool air --> warm lather --> cool rinse --> warm air.
Yes, this phenomenon is really remarkable. When I take a nice, warm shower I feel freezing when I get out. After a horrible cold shower I feel nice and warm getting out.
It's due to the contrasting temperatures.
I can/will second this. Climbing into bed and warming up after a cold shower is a very enjoyable experience.