Actually is called scotish shower, and it works pretty good !
Alternating hot water for 30 sec with cold water for 30 sec., would help flushing out faster the built up of acid lactic and prevent the soreness after a workout or a run.
You do this routine 5 to 10 times depending on your cold water tolerance.
At the beginning it is a little bit unconfortable but you will get used after the first two doses.
It feels awesome when you get out from the shower and you eliminate almost complete the chance of a next day soreness... I have been doing this routine for almost 3 years and it really helped me with my recovery process.
All that stuff about catching a cold from going outside barefoot on a cold day or walking around with wet hair is just an old wives tale. You need a bug to create that cold.
Couldn't you just do light cardio for 5-10 mintues to remove lactic acid and other waste from your muscle? This would work just as well, although the shower thing does make you feel refreshed and energetic. It's like going from whirlpool to regular pool too.