Comedian Jimmy Fallon took a quick but icy dip in Lake Michigan on Sunday, dressed in a full suit and tie. Eyes bulging as he darted out of the slushy water, he headed straight for a pile of dry towels.

The Tonight Show host made good on his promise to make Sunday morning’s Polar Plunge with Mayor Rahm Emanuel – as a condition for the mayor appearing on Fallon’s show in New York, following an exchange of tweets and challenges.

“If you hear a scream like a little girl’s … know that Jimmy Fallon is swimming in Lake Michigan,” Fallon told the crowd shortly before running in.

Emanuel, wearing a green Chicago Public Library T-shirt and shorts, went first, with Fallon just after. Both were soaked as they fled the water to cheers from a large crowd. A group of bagpipers, wearing yellow rain boots and traditional kilts, provided the soundtrack for their rapid dash into the 32F (0C) lake.

The annual event draws several thousand hearty plungers to raise money for Special Olympics Chicago. Scores of people dressed in parkas and polar bear outfits, some carrying signs, gathered along the lakefront early, hoping to catch a glimpse of Fallon. It was 10F (-12C) during the plunge, and Chicago firefighters in red wetsuits waded in before the waves of brave souls, throwing chunks of ice out of the area.

Seventeen-year-old high school senior Marilyn Lamanna and a friend got up at 5am to snag a spot where they hoped to watch the feat unfold. With them was a large, cardboard cutout of Fallon’s head, which caught his eye. He gave the shrieking girls brief hugs before darting off to take the plunge, telling them: “I’ve got to go meet the mayor.”

“Between Jimmy Fallon and the Special Olympics, it doesn’t get much better than that, even though it’s super cold,” Lamanna said.

Facebook Twitter Pinterest Chicago mayor Rahm Emanuel exits the water during the Chicago Polar Plunge. Photograph: Andrew Nelles/AP

Emanuel said last summer that if the city’s children read two million books as part of a Chicago Public Library program called “Rahm’s Readers”, he’d jump in the lake. Special Olympics Chicago president Jen Kramer credits Fallon and Emanuel with attracting more than 3,000 people for the run into the lake from the city’s North Avenue beach. That’s more than ever – last year 2,300 people did it.

Black t-shirts emblazoned with “#Swimmy Fallon” – the nickname Fallon coined in a recent tweet to the mayor – were “going like crazy”, volunteer Suzy Thomas said. And numerous Fallons dotted the crowd, thanks to masks in his likeness given to attendees, strolling around the beach quarters, moving among warming tents.

When Emanuel heard Fallon wanted him to appear on the show he took over in February from longtime host Jay Leno, the mayor called the comedian and challenged him to join in the plunge. Fallon joked Wednesday that he agreed to it before realising what it actually entailed.

He also said Emanuel told him he had to “toughen up” before the mayor would appear on his show.