Oh yes. You know you want to:) Just 15 seconds in a cold shower first thing in the morning will jump-start your noradrenaline and dopamine production, giving you a blissful rush and boosting your energy levels for several hours. It also boosts your immune system, increases circulation, and is a well known natural remedy for mild depression.
In my experience a cold shower is the quickest way to significantly alter you perception of pain, save by hitting yourself in the head with a frying pan, and so much less painful :D
I learnt this from an amazing lady, Elisabeth Engqvist, who is a yoga instructor specializing in Kundalini Yoga and stress management. Together with her husband, she runs Yogabolaget, and hosts classes, workshops and teachers' training courses all over Sweden and many places in Norway. She advices cold showers to treat burn out and prevent stress, but I found it works really well for chronic pain too. And you can always turn up the heat a while after you've had that initial rush.
But of course, you should avoid cold showers if you have a heart condition.