First, take a cold enough temperature (-15°C will do just fine) and a frozen lake. Then, make a hole in the ice, big enough to swim in. Because that's what it is for. You can have a hot sauna too, but that is optional.
Winter swimming (or hole-in-the-ice swimming) is fairly popular in Finland. The usual pattern is to go to a hot sauna (at least 100°C) to warm up, then you go and dip yourself in the ice-cold water and swim around for a little while. Before going back to sauna, you stand or sit a moment outside. Then repeat the cycle until you are saturated with endorphines and feel totally relaxed. Some people go and swim first, before going to sauna, and some don't bother going to sauna at all.
I used to do this regularly, 1-2 times a week years ago. At some point I left the scene, but this winter I've started again. The feeling afterwards is just amazingly relaxed. If you haven't tried it, I strongly suggest that you try it if you get a chance. You can come and visit Finland in winter to increase your chances. Of course the usual disclaimers apply, consult a medical professional first if you are from the U.S. etc. etc. Most people survive it alive.