The thermometer registered -11 degrees Fahrenheit, but no matter. Markku Lahdesmaki had donned a pair of borrowed swimming trucks and was going to plunge into the frozen Finnish lake anyway. "I was walking toward the hole in the ice, thinking, 'OMG. This is crazy,'" he says.

It was the bargain he'd made with the winter swimmers he photographed for his surreal series Avanto: After shooting, he'd join them. So he stepped in. "My heart stopped," Lahdesmaki says. "I felt like I couldn't breathe."

Avanto—Finnish for "hole in the ice"—is a national pastime in Finland between November and March, when temperatures drop as cold as -35 degrees Fahrenheit. Many people like to do it after spending some time in the sauna, slooooowly lowering themselves into water so cold it burns. But it's dangerous: The body can go into shock, causing hyperventilation and, potentially, death. But swimmers—and a few studies—claim it relieves stress and pain, and hardens them so they're less likely to get colds.

It never much tempted Lahdesmaki, who grew up in southern Finland but moved to sunny California 25 years ago to work as a commercial photographer. Then a few Januaries ago, while visiting his hometown Tampere, he drove out to Rauhaniemi beach on Nasijarvi Lake to take some pictures of the snow. Instead he found a couple dozen locals in speedos and bikinis, flitting between a steaming hot sauna and a black hole in the ice about 30 feet across. A pump circulated the water in the middle to keep it from freezing.

Lahdesmaki spent a few hours shooting with his Leica M240, capturing the surreal (and a little absurd) sight of half-naked swimmers chilling out like polar bears. His warmest winter coat and gloves couldn't keep his fingers from going numb as he worked, but he was about to feel even colder. Getting in the water didn't feel good at all—he only stayed a few seconds. But getting out? An incredible rush. So he did it again ... five more times. "When you've done it a few times, it gets easier," he says. "Your circulation kicks in and your body starts to warm up."

Seems suspicious—but we're not here to throw cold water on Lahdesmaki's experience.

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