@mister kitten,
Generally, I start out with very hot water in a shower but it's rather difficult to even think 'hot shower' now. Enjoy, enjoy the hot water whilst shampooing and washing every little place. Then, I stand under cold water for several seconds, gasp, gasp, gasp, and get out of there. Guess I like extremes. Seems I read somewhere some time ago that the cold water closes those pours opened by the hot water. Probably closes the brain, too.
When in my 40's we used to visit with a couple at their Canada (Aberdeen) cottage. Each place had an outdoor sauna at the water's edge. We'd sit in the sauna 'til about roasted, then run wildly and jump in the lake, screaming. This was a social thing, to be invited to the cottage of others. After the dip, though, you really should get beat with pine branches--never tried that, however.