The way Finns do it they take a hot Sauna in the winter and when they get out of the hot-room they go lay naked in the snow. Or plunge into the frozen lake through a sawed-out hole. Then they go back to the sauna again to feel the warmth again. It does feel great and stops you from dwelling in miserable thoughts. That may be part of the reason why Finns are ranked happiest people for multiple years.
Yep, I’ve spent time in Finland and loved this… but for me it works better to skip the warm part and just do the cold.
However, the Finns in the winter did not seem to be happy at all, but mostly quite deep in seasonal depression.