Benefits:
Improved Blood Circulation. When you take a hot shower your blood goes to the surface in order to try to remove excess heat, while when you take a cold shower, your blood rushes to the organs to try to conserve heat. If you take a shower, and alternate cold and warm showers, it could be compared to lifting weights, except instead of weights, blood. It's like working out your circulatory system.
Better hair and skin. Taking a hot shower dries out your hair and skin when it rapidly vaporizes back into gas. Skin-wise, when taking a hot shower, with all that steam and warmness, it opens up your pores and allows you to dig in there and clean, the problem is, when you open up your skin pores, it becomes more prone for dirt and oils getting in, which could result in acne.
Hair-wise, it works similar to before. Your cuticle, that is the opening of your hair shaft, closes, rather then opens, which means your hair would become stronger and prevents dirt from getting into the hair shaft. Also, cold water makes your hair look shinier and healthier.
It's him again, look how healthy his skin and hair looks! Still want to hit him though right?
Cold water can strengthen the immune system. When you get that sudden shock from that burst of cold water on your body, it helps activates endorphins to prevent you from screaming during the entire shower. The endorphins on hand helps activate the immune system, which means taking daily showers can not only wake you up in the morning, but wake up your immune system during the day. If you're prone to sickness, you can actually get your immune system up and ready before your day even starts.
Now that we've associated cold showers with endorphins, the benefits of endorphins apply to cold showers, which ranges from relieving pain, reducing stress, and a feeling of "well-being". That means, without representing medical advice, in theory, can help with depression.
Won't be needing these anymore! Just kidding, take them.
Increased fertility for males. There's a reason your "boys" are hanging out there. Sperm can't grow and survive in the temperature that your body produces. Optimal temperature for sperm is 4-5 degrees lower then body heat. Taking a cold shower over a hot shower can increase the amount and the quality of the sperm that one may produce. A hot bath would actually decrease the amount of sperm depending on how hot, and how long you take a bath.
A death sentence.
Increased testosterone for males. That's right, taking cold showers can make you generally more "manly" and awesome.
How to start:
Don't jump in a icy lake next winter because you're really hyped up about this. Gradually decrease the temperature each day, otherwise the sudden unusual decrease in temperature will put your body in shock.
If you have heart complications, high blood pressure, or feverish, consult your doctor before attempting to do so.