tldr: very worth it
So after many months of this rotting on my bucket list and the many contrast showers I had taken in the past, yesterday I finally took a proper cold shower. To get the terminology out of the way: A contrast shower is when you start the shower hot and end it cold, possibly flicking back and forth between the two a few times. A cold shower means turning the handle all the way to it's coldest setting before jumping in.
My cold shower went like this: I hyped myself up for a few minutes, unsure of what would await me. Then I got into the shower, and took several deep breaths before turning on the cold water. It was a big shock, haven't felt this much adrenaline in months, I breathed fast and heavily. After what must have been 20 seconds, after my whole body was wet, the initial shock cooled down (pun intended), my breath stabilized and I could think clearly again. I stayed in the shower for another 3 minutes, taking in this meditative experience and giving into the cold.
After having turned the shower off, while drying myself, I couldn't help but laugh. I can't overstate the intensity of this experience, I haven't felt so alive in months. I did not worry about the future or think about the past, I was just present and happy. And that was just the mental side, my body felt like it was wrapped in an aura of purity and cold, like I was wearing some magical armor, like all my cells had died and been reborn. I felt invincible. In the minutes that followed, the intensity of my experience decreased, and gave way to a deep feeling of peace. When I went to bed a few minutes later, I fell asleep right away.
You can do it too
If you're afraid, great, that's the point, everyone is.
Read up on this FAQ and then just do it.