This quote from GootzTX on runnersworld.com made me laugh:
Get into the water and then dump the bag of ice in, this allows your body to slowly get used to the cold water. It sure beats screaming like a little girl when you suddenly sink your butt into 35 degree water ...
Unfortunately the reality is that they do actually seem to work. Stephen Mirarchi from "Running Times" has this to say:
Why not simple ice packs? "When an individual removes an ice pack after the typical 20-minute application, temperatures within the muscles increase instantly," Ashley explains. Packs may suffice for surface-level pain, but for deep, lasting treatment, baths can't be beat. "Even after the conclusion of the treatment," Ashley says, "the muscles will continue to cool."
For runners in particular, ice baths offer two distinct improvements over traditional techniques. First, immersion allows controlled, even constriction around all muscles, effectively closing microscopic damage that cannot be felt and numbing the pain that can. You may step into the tub to relieve sore calves, but your quads, hams, and connective tissues from hips to toes will gain the same benefits, making hydrotherapy an attractive preventive regimen. Saint Andrew's cross-country coach John O'Connell, a 2:48 masters marathoner, will hit the ice baths before the ibuprofen. "Pain relievers can disguise injury," he warns. "Ice baths treat both injury and soreness."
The second advantage involves a physiological reaction provoked by the large amount of muscle submerged. Assuming you have overcome the mind's initial flight response in those first torturous minutes, the body fights back by invoking a "blood rush." This rapid transmission circulation flushes the damage-inflicting waste from your system, while the cold water on the outside preserves contraction. Like an oil change or a fluid dump, the blood rush revitalizes the very areas that demand fresh nutrients.
Even if you don't have access to a $5,000 hydrotherapy pool, you can set up the same ice bath at home. Modern research points to 12-15º C or 54-60º F as the ideal ice bath temperature range; remember that the temperature will rise steadily with your body heat. Significantly colder baths offer no additional perks and can actually perpetrate cold-induced muscle damage or spontaneous fainting-a good reason to have a friend watch your back while sharing in the misery.
Once you feel the blood rush around the six-minute mark, stay in for a couple more minutes, but don't overdo it. Muscles and tissues can tense up with too much cold, and to avoid tightness you should take a warm shower 30 to 60 minutes later.