I've done it a handful of times. Once you get in, you will immediately regret the decision to do it. But, because of human nature, I keep doing it again anyway.
Here in MN you don't run in off of a beach, you jump off a dock and into the lake. Then you have to climb out of the water and they have a place for you to towel off as much cold water and get into a hot tub.
Can't say it's a good idea but worth it to cross off the bucket list.