There are people who show incredible resistance to extremes of temperature. Think of Buddhist monks who can calmly withstand being draped in freezing towels or the so-called "Iceman" Wim Hof, who can remain submerged in ice water for long periods of time without trouble.
These people tend to be viewed as superhuman or special in some way. If they truly are, then their feats are simply entertaining but irrelevant vaudevillian acts. What if they're not freaks, though, but have trained their brains and bodies with self-modification techniques that give them cold resistance? Could anyone do the same?