I fill my bathtub with cold water, add 40 pounds of ice, and stay in until the ice melts. (Don't try this yourself until you have built up cold resistance by first taking cold showers, then cold water baths, and then cold baths with a little bit of ice.)
As I age the winters are becoming less pleasant and this is in part an attempt to alter my winter set point happiness.
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.
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.