I haven't looked into the studies on these types of therapy, but from my experience I would say they work. Even just turning the water to cold after a hot shower seems to help me feel refreshed.
When I would sit in a cold tub for 20 minutes it helped to keep my legs fresh. I'm not sure if they were stronger than without a cold soak, but overall my body and my legs felt "fresher" and that seemed to translate into better performance on the field during practice and games.
I did notice that I got used to the cold and it wasn't as "painful" each time. I think that might have more to do with your nerves and brain getting used to the cold shock.
The thought was that the cold water got your blood flowing and that helped your muscles recover faster. Maybe it has something to do with the nerves getting a sensation from the cold or thermal contrast and that stress causes your nervous system to recover leading to the "refreshed" feeling. I'm just thinking out loud though.