the ayurvedic method is to step in and out of the water 4 times.
i have found sometimes if i do the temp change it makes my skin itchy during the transition from cold to warm, but i think maybe my idea of warm is too hot!
yes cosmic troll, i have noticed some interested nostalgic feelings too during my first couple cold showers. that feeling afterward when your skin is nice and taught and you curl up into a nice robe or sheets feels childlike somehow.
also, another good effect of this practice is it is better for your hair and skin because in many water systems a lot of the impurities and additives, especially chlorine are reduced. also, the lack of steam created lessens your respiratory burden because you are not inhaling fluoride and the like.