Lynne Cox, the only person to have swum a mile in Antarctic waters and to swim the Bering Strait.

"Dangerous marine animals aside, the [Gulf of 'Aqaba] swim was among Cox's most physically challenging. A battery of scientific studies done on Cox over the years has revealed some startling facts about her physiology. First, the muscle and fat in her body are so perfectly balanced that she has neutral buoyancy, meaning that she neither sinks in water nor floats. As one researcher told her, "You're at one with the water" - a critical energy-saving advantage during long-distance swims.

More remarkable, however, was the discovery that Cox's body is superbly adapted to cold temperatures. On entering cold water, a person's surface blood vessels constrict, forcing warm blood to the vital organs at the body's core. Normally, however, this is a stopgap that works for only a short time. By contrast, Cox's vital organs are insulated by an evenly distributed layer of insulating fat. Warm blood shunted to her core remains warm dramatically longer. So effective is this "internal wet suit," that Cox's temperature actually rises during a hard swim in cold water."

http://en.wikipedia.org/wiki/Lynne_Cox

But apparently she had been swimming for decades -- a lot of it in (progressively colder?) ocean water -- and she was studied "over the years." So it seems pretty possible that her physiological adaptations were a result of, not a cause of, all that cold-water swimming.

Some practitioners of meditation, in particular Tummo, claim that they can change their body temperature which allows them to withstand extreme cold:

http://www.news.harvard.edu/gazette/2002/04.18/09-tummo.html

The world record holder for ice immersion (1 hour, 44 minutes) is Wim Hof who describes himself as a Tummo master.

http://en.wikipedia.org/wiki/Wim_Hof

I know a couple of Finns that have swum everyday for decades, no matter what the water temperature (eg through ice). They claim it builds up brown fat. Maybe the ratio of brown fat has something to do with it.

http://en.wikipedia.org/wiki/Brown_adipose_tissue

There is certainly an amazing amount of adaptation going on when you start swimming in cold water. Swimming short amounts of time (10 mins) in cold water can be done safely with proper training & supervision. You can definitely learn to control or reduce the initial cold shock reflex (gasping for breath).