I'll be the meta-contrarian (http://lesswrong.com/lw/2pv/intellectual_hipsters_and_metaco...) and disagree. If you believe that it's important to deliberately suffer to build character, at least do something that provides some benefit like vigorous exercise, or even rejection therapy.
Good point - if cold showers were the only thing you were doing to build self-discipline, that would be rather silly. I already work out almost everyday, put myself in uncomfortable social situations and other "character-building" activities. This is just one more thing I've added to the mix and that I'm sharing my thoughts on.
