I tried the cold shave technique for a while, it definitely works but I didn't notice any difference in shave quality. I went back to hot water, which makes the experience more enjoyable for me. Now perhaps it might be different if I lived in Florida, Hawaii or Mexico, but I'd be hard pressed to totally convert to cold water shaving during a -30º C Canadian Winter day!

(with all due respect to my Canadian brothers, I don't know how you guys do it....)