I think Selkirk's got it right with his 'swim in Lake Washington' prescription. I believe the mechanism of adaption is to increase the capillary volume in the extremities- I know I've read this somewhere, but I can't find any references.
Anyway, the theory is that if you chill your extremities, your body will adapt by increasing the circulation of blood to them. This is best served by chilling your body, but not freezing it (which would cause damage to the same tissues you're trying to help). Hence, months of cold showers make a good alpinist.
By the time you're a good alpinist, you'll have already taken months of cold showers (see the posts of Layton, et al).
I believe this to be true, but I can't find any supporting documentation. It may turn out I dreamt this in a psychedelic haze- don't blame me if doesn't work.