And no, not just for that first thing that popped into your mind. Advocates for showering with cold water say that it has a lot of health advantages. One of the things that it does is force the body to generate its own heat, in a process called thermogenesis.
When you go right into a cold shower, you experience cold shock. It actually makes your heart pump blood faster, and you also increase your breathing rate. This is what generates Thermogenesis. It activates the body's adaptive repair system. That can strengthen immunity, enhance your pain and stress tolerance and ward off depression. Some people even say it's a good anti-aging technique.