ska said:
re cold showers - I find as soon as I get my head used to the temperture the rest of my body adjusts very quickly.
I get under at a more tolerable temperature , (warm not hot) but turn it right down to cold fairly quickly.
I have tried baths too, but they really are too much for me bare, although my wife has cold baths and just about tolerates them.
(albeit with some startling noises coming from the bathroom in the first few minutes!)
Despite the initial discomfort, we both feel they are worth doing and feel good afterwards.
I think there are benefits to both cold showers and baths.
First of all, I would say it's probably not a very good idea to jump into a 10C bath to start with. That's way too big of a shock for most people. Even getting into a swimming pool at 20C is pretty cold for most of us!
Second, it seems from some of the stuff I've read that getting your head wet/cold is essential, particularly the neck area. This is exactly what we don't want to do, because when the cold hits your head, you either hyperventilate, or hold your breath. So, my solution was to force myself to breathe in and out of the mouth consistently, forcefully, and quickly - but not like panting... more like "faster deep breathing". The minute I did this, suddenly the cold became tolerable. Still, I worked my way up.
It also appears that taking a hot shower first, and then hitting yourself with the cold still gives the benefits. Personally, I prefer Maximum Cold. There are days, though, where I just can't take it. Sometimes, if I'm feeling a bit sick or achy, the cold shower helps. Other times, I start instantly shivering, and up goes the temperature knob. It depends.
Third, it's kind of complicated. Water is a better conductor of heat than air. In a bath, the minute you get in, you're raising the temperature of the water, but at least your body is in full contact with the water until you get out. In a cold shower, the temperature of the water flowing over you is constant, but you have to stay in the water. On the other hand, you DON'T have to stay in the water stream, which can be useful when you're adapting!
I've found it's useful to pre-rinse with full cold (head first), then turn the water pressure down and do the soapification stage (in the now cold air of the shower, which is technically further chilling since I'm wet and the air in the shower is not hot and steamy), and then do a full power, full cold thorough final rinse (I actually turn the water pressure up to max for the rinsing to maximize coldness). In the winter especially, my fingers will stay cold and numb for about an hour afterwards. That's a bit disconcerting, but it doesn't hurt anything. Also, a cold shower after a workout is FABULOUS for quick healing/rebuilding... I rarely have sore muscles the day after anymore. Got sore feet? Take a cold shower and blast the soles of your feet with extra cold water for a bit. It works wonders for me. I swear I can actually hear them saying, "Thank you! Thank you!" in squeaky little voices.
There is another interesting benefit from cold showers: take cold showers in the winter, and your skin will be UBER soft and shiny - but not oily. This is apparently because cold water causes your skin's pores to contract, so the soap doesn't deplete the skin of oils and moisture as much. If you have normally dry skin, this is a wonderful benefit. As for cold showers in the winter, prepare to get under some blankets and warm yourself up good afterwards, especially if you're on the skinny side.
Cold showers have also been shown to help improve mood. I don't know how it works, but it does.
Finally, if you're "well-insulated", don't assume that you're not getting any benefit unless you're shivering like an earthquake afterwards. I get goosebumps sometimes, but I very rarely shiver. I still feel the benefits. Just be sure to get your neck and head cold, and find colder water if possible. As Pierre noted, you are still most likely getting some benefits from the "not cold enough" shower/bath.
As for cold air, I'd say some experiments are in order!