I've taken cold showers every weekday for the last few years. The way I get around the problems raised (washing hair, etc.) is that I have a really hot shower just before bed. This helps me sleep by lowering my core body temperature.

Cold showers are great and, as someone who's suffered from depression in the past, I go into each day thinking, "what's the worst that could happen"?*

*I realise that sounds flippant, but it's true...