There has been many a story about hot and cold techniques, shower heads, etc. So I thought I'd add my two cents worth. I've always enjoyed the sensation of ice applied to my pussy lips and clit.
First I work my fingers in small light circles around my clit, just enough to get the juices flowing. I then take a small cube of ice (slightly melted to take the edges off) and run in lightly and quickly over my pussy lips from top to bottom and back. Pausing ever so slightly on my clit. Wow, that's cold.
I then give the ice a break and go back to working my clit, till I'm all warm again. Repeat as many times as you can handle it, varying the speed and pressure. You can almost get to a stage of self teasing with this. It's divine.
The ice doesn't bring me to climax but the sensation of extreme cold on such a warm area is sensational.
I've often put my vibrator in a tall glass of half melted-ice. Left it to really cool down while I continue to play, then inserted it slowly into my warm, wet pussy. The mixture of cold and the vibrations against my clit will always send me over the edge. It doesn't stay cold for long and makes a fantastic way to finish an ice session. I get the most intense orgasms from hot and cold sensations.