East coast winter surfer here. After that initial shock (anyone have ideas on how to minimize this??), it's a great feeling. Almost as good as the coffee and burrito after the session. Highly recommended.
The real hurdle is when the water is high enough that my hands are in the water too. The whole time I'm slowly splashing and rubbing water over my body to prepare for submersion. I can tell which areas are still dry and upon their first exposure to water its slightly uncomfortable but well worth it. I get my hair wet with my hands as well.
Finally I get up to my neck and after awhile I feel like I'm in a nice cool pool. I don't wear a wetsuit.
This gives me a chance to gauge what I'm dealing with (water temp + how willful and resilient I'm feeling that day). Plus it makes the initial entry less of a mental hurdle because I know I'm coming out shortly after entering.
This is a neurological hack, basically your mind thinks that everything is ok because you only breathe slowly in calm conditions (cold water is not calm by default).