Wim Hof learnt to tolerate cold temperatures and figured out some breathing techniques, which he later used in a laboratory context to remove e-coli from his body. Hof claims he can activate adrenaline and other hormones in his body.

We might not get to that level, but by taking cold showers, we can become more resistant to cold, change the structure of our body fat, and also learn that there's a big difference between the pain of the thought, and the pain of a thing.