I did it in Vancouver a few years ago. It was a blast. People in costumes, hockey players in full pads, including their skates, guys in thongs / Borat swimsuits, girls in tiny bikinis, etc. Temps were in the high 20's, and there was snow on the ground. A few tips:
- You'll get the coldest while you wait to go in. Be sure to at least wear flip-flops to keep your bare feet off the beach. We stood on towels. Also, bring a warm hat.
- Obviously clothes/blankets to warm you up afterwards.
- You usually have to swim out to a buoy or something to really count, although plenty of people will literally only put their toes in the water. I full-on swam it. You have so much adrenaline, it's not hard (you swim maybe 50 yards).