Based on my own experience and those I've read, the water needs to be cold enough to sting you at first go, but it should stop short of ice cold. If your body isn't getting acclimatized within a minute of full exposure to the water, it's too cold. If you aren't feeling all tingly and invigorated after your shower, it's too warm.

Make sure to warm yourself well after the shower - some exercise will really get the blood flowing.