Personally I don't find cold turkey too bad. The second day after I stop I'll have a headachey, nauseous afternoon (which is almost entirely handled with paracetamol as long as I stay hydrated), but after that it's more a matter of habit.
Caffeine withdrawal can get really nasty. Think a full week of evening shakes so strong you can have a hard time ingesting anything, fevers, headaches that paracetamol won't make go away, diarrhea.
Going cold turkey is an ego-motivated action, in my opinion. It's the 'If I can endure this acute suffering and beat it, then I'm stronger for it' attitude, and gives a false sense of inflated accomplishment. The reality is that you put yourself through needless torment so you could feel better about yourself, while a rational person whose goal is to actually beat the addiction realizes that their chance of returning to the substance increases substantially with how bad the withdrawal symptoms are.
If you want to quit, do everything you can so that you don't go back to ingesting the substance in question. That means reducing the chances you'll relapse because withdrawal fucking sucks and the only thing that will fix it is either waiting or using again. Guess which one your brain will try to convince you to do (hint: its the one with the least amount of immediate suffering)?
Next time: bring a few cans of cola to drink during the first day, and you're okay.