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Denpa inspired me to freeze a cylinder of ice and insert it in my asshole.
Test #1: It slides in easier than anything else I've ever put in there, and it wasn't as shocking as I anticipated. Instant erection but after about 10 seconds my prostate was numb and there wasn't much pleasure to be had. Numb anus lasted for approximately 10 minutes afterward.
Test #2: Jerked off next to the freezer and grabbed the ice dildo to insert it just before I came. The sensation basically canceled out the orgasm. Disappointing.
Conclusion: I could see it being fun as part of a light bdsm punishment, but little utility for masturbation.