In addition to what others have said, one reason drinking cold water feels refreshing is that a cooling of the tongue is believed to be one mechanism for satiating thirst.
[https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0162261](https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0162261)
The mechanisms to feel thirst have to do with the volume of water in your blood and organs and concentration of electrolytes in and around your cells. Drink a bunch of water, and those levels will balance out. But it takes 15-20 minutes for the water and electrolytes to get where they need to go, and for these changes to be registered by the appropriate sensory organs. If you continued feeling thirsty that whole time, you’d be in danger of drinking too much water and damaging your organs or dying. So the mechanisms that satisfy thirst (cooling of the tongue and possibly the muscle movements associated with swallowing liquid) are different than those of feeling thirsty (special organs that detect salt levels in the blood and low blood plasma volume).
As to why cold water feels shocking, this might be due to the fact that the same sensory receptors that register hot and cold also register pain (bare nerve endings in the skin, in contrast to the other sensory receptors that register pressure and vibration). This also might be why extreme hot and extreme cold can feel so similar — and feel painful.
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