According to one source:
curglaff
The shock felt in bathing when one first plunges into the cold water.
- John Jamieson's Etymological Scottish Dictionary, 1808
Examples of usage:
I don't drink vermouth, I dump it on my head hoping it will color my hair, as curglaff hits and I finally know what the word means.
— Fictionaut, “Hitting Cold Words”
Curgloft, confounded, and bumbaz'd,
On east and west by turns he gazed.
As ship that's tossed with stormy weather,
Drives on, the pilot knows not whither.
{William Meston's Poetical Works, 1767}
For the medical consequences see:
http://www.foxnews.com/story/0,2933,240539,00.html
Finally, for those who want the thrill without the chill:
A cold chill (also known as frisson, or simply thrills or cold chills) is described by David Huron as, "a pleasant tingling feeling, associated with the flexing of hair follicles resulting in goose bumps (technically called piloerection), accompanied by a cold sensation, and sometimes producing a shudder or shiver." [1] Unlike shivering, however, it is not caused by temperature, menopause, or anxiety but rather is an emotionally triggered response when one is deeply affected by things such as music [2], speech [3] or recollection.
http://en.wikipedia.org/wiki/Cold_chill