While I was dabbling with lukewarm water, this question popped in my mind that if our skin which was making contact with water and the water were of exactly the same temperature, what would we feel, hot or cold?
Now, the first thing is, we would feel the touch, but what all things would we feel. Let us simplify the model more, let our hand be perfectly still and water be perfectly still while in contact, 
what would we feel? Hot or cold? Well, in my experience, we'd feel nothing. Why? Because we aren't moving at all. Everything is at rest and in thermal equilibrium. So if we are very still, and the water too is very still, we'd stop feeling it. The evidence is for everyone to try it and see it for themselves, for I cannot do it everyday except on a lazy Sunday afternoon when all other people in the house are enjoying their afternoon siesta. But this led me to a couple of questions.
1. Why does being in air held at 38 degrees feel hot, while being immersed in water in the same temperature feels like heaven (especially on a sunny afternoon?)
Because our body's temperature regulation keeps cooling us little by little by sweating and that sweat keeps on cooling our skin, in comparison to the air around us and hence, we feel the difference. This effect is more evident on windy days because the air carries away the sweat. On humid days, the layer of sweat just sticks there, makes us feel squeamish and also hinders our body from regulating the temperature effectively. So, the body adopts a proactive approach and to try and reduce the amount of internal heat generated, makes us lethargic. See, we are one hell of a well thought machine. (Source) Oh, I forgot about immersion, you see I often tend to forget the things that give pleasure. So, immersion in water reduces the bodies ability to let go of that moisture, mainly because we are in a pool of water or lots of moisture. So, there's always lots of it to replace the original one and doesn't matter. Also, just for information, water is one badass liquid, because it can absorb a hell lot of heat before it starts to boil. It is really cool and has a lot of latent heat capacity.
2. Why do we feel this temperature first and then, if we are steady, we stop feeling that much difference?
Honestly, because we are a lazy lot. Our nerve endings become lazy, they get used to the monotony and how fast you do it is often a factor of how well your genetics have made you (I guess). My hands adapt more or less quickly to the cold outside and I used to wonder why water feels hotter on my hands than anywhere else on my body and sometimes feels like burning when it is merely lukewarm? But here might also lie the reason why I feel bored so quickly (any one listening here? Somebody conduct a scientific research on this correlation that I have propounded). Our nerve receptors get used to the ambience and after a while, noticing that the conditions aren't changing, accept it that this is how it is supposed to be. Why doesn't the rest of my body agree? Because it is covered in layers of cloth :-)
But this also highlights the fact that what we feel isn't always and isn't necessarily the truth. That is why great sages said, 'sab maya hai' :D
I've been indecisive and thus incessantly filling up my head with things that choke out everything that I could learn everyday and share here. Unfortunately, I am undecided as of yet, and it is going to stay so for a while. Bear with me, and ask me questions if you too have a cynic inside you. :-)