My new pet theory is that avantouinti (literally “hole-in-the-ice-swimming”) and love of chili peppers are somehow related. At least here in Tampere I can find people who do both: go out in extreme cold, and jump to the lake, and eat extremely hot chilies. It might be that there is need for extra endorphin, if you live up in North, perhaps? Both the pain/taste of chilies and the effects of visiting hot sauna, and submerging in icy water appear to create some kind of mild shock effect to your system, which in turn releases endorphins. Endorphins in turn are natural pharmaceuticals for pain and stress, and seem to interact with the opiate receptors in somewhat similar manner like morphine does.
On the other hand, it might just be a cultural thing: heavy metal music is also popular in the North, and I have also witnessed crowds of black-clothed folks gathering in the annual chili festival in Tampere. For some, it is just that the strong things attract?
As to the health benefits, there are studies that prove both being likely good for us, see e.g. Huttunen, Pirkko; Kokko, Leena; Ylijukuri, Virpi (2004). “Winter swimming improves general well-being”. International Journal of Circumpolar Health 63 (2): 140–144. And: Knotkova, H., Pappagallo, M., & Szallasi, A. (2008). Capsaicin (TRPV1 Agonist) Therapy for Pain Relief: Farewell or Revival? The Clinical Journal of Pain, 24(2), 142–154.