You're not alone with the cold water fascination, ice hole swimming is a thing in Finland.
Besides increasing cold tolerance, there's anecdata that cold showers can help you fall asleep if taken in the evening (lower body temperature is a sleep onset trigger), and that they can help with depression.
They can help with depression.
I've personally tried this and can report truth, but will caveat that the expectation that I will force myself into a morning cold shower often causes oversleeping, which rather exacerbates depression.
As in Joshua Blaine's original description (below), but may be used to brag about things you've accomplished either this month (December) or the previous one (November), assuming that you haven't brought it up in any earlier Monthly Bragging Thread.