I tried cold showers for at least a month. I can confirm it gets easier & feels less painful over time, and there is a kind of rush that you get from it.
But ultimately I stopped. Partly because my hair never washed right in the cold water, but mostly because the showers were making me grumpy & irritable for the rest of the day. I didn't enjoy that feeling, I didn't particularly enjoy the showers, and I didn't notice any productivity or health benefit.
I first heard about cold showers from Joel Runyon, so I'll give him a link [1]. But it quickly went from blogs about "here's a self-motivation idea I'm trying" to "here is my TEDx talk and Cold Shower Therapy™ email course and download the Cold Shower Therapy™ app on the App Store".
[1] http://impossiblehq.com/cold-shower-therapy/