I frequently take cold showers between sauna sessions. Both are extremes, in the sauna I like the feeling of hot steam making my skin shiver just after a splash of water on the heater. In a cold shower I like the initial gasp for air and the shiver down my spine before I get used to it.

I do remember reading something about intensive chilling would improve my immune defense, but that just made me start doing this. Now I do it because it feels good to have some ice cool water after 10 minutes in the sauna giving you a slight fever.