When you put your hand or body in cold water, your body's natural response is to try to warm itself up. It does this by sending more blood flow to your skin and by making you shiver. This can make you feel uncomfortable or even cold. On the other hand, when you drink cold water, it can actually help to cool your body down. This can be especially refreshing on a hot day or after you have been exercising. It can also help to quench your thirst. That's why it can feel pleasurable to drink cold water.