Personally, I'm a big fan of cold. Ice is fun! That said, it is a very personal thing and I know many people who prefer warm/hot or like both either separately or in combination.
I'm not really sure how to answer the "what did it feel like?" question. It felt... cold. I like cold. Cold feels nice. Too cold for too long can start to feel numb or painful, but that's why you don't keep the ice in one place for too long.