My dad used to tell me about the time he was in a cold, remote location (military), and he was the only one in their group who would take cold baths (from a snow-fed stream nearby); the others would warm up water and then bathe. The entire year he was there, he never fell ill; though the rest of the bunch came down with cold/flu with regularity. I know this is not scientific evidence, but just anecdotal.

Thanks for the article; I had forgotten about his story, and now will try to work in cold showers slowly.