I have always preferred the cold, makes me feel more alive, vivid and if it gets a little too cold, coming back to warmth is so much more satisfying. When this turned into a kink, or rather when I started playing with it as such is hard to tell, lines get blurry with distant memories.
If I had to pick, I'd say cold is my favorite, it feels a lot safer to me (subjectively) than heat does, probably because I have so many fond memories of playing in snow, and so many memories of getting burned.
What really brings it home is transition though! Cool the play area down a lot, then get a blanket to warm up again, strip it away and put it back, lots of amazing sensations. Cooling down enough and fast enough is also a good way to bring me from submission to dominance, but not the other way around. So that is currently my favorite way.
Besides cooling the play area, going out in the snow is a lovely way to do it. My most fond memory was a sudden snowfall over night, just us kinky friends alone at a farmhouse, getting into our usual shenanigans when we realized it had already snowed like 5-10cm and was not stopping. It did take some convincing and a lot of layers of clothing but I did get one of them to try the outside. It was absolutely brutal on my feet, but being there, middle of the night, tied to the side of a barn, with a steady, dense snowfall and constant impacts of a flogger (or was it a cane? Memory gets fuzzy) tenderizing my flesh, amplifying the sensation of cold. That was something else.
It is now many years later, and I have to deal with the fact my body won't do so well with very cold temperatures anymore. It was again playing in snow, rolling around, making snow angles and all that goodness. Getting nice and cooled down before turning into a sensual bondage scene for warming up. I was placed on my knees, arms spread out and secured to walls, before more intricate rope was laid and finally my arms were supposed to be put behind my back. Still cold and a little numb, my left arm was moved just the right amount of wrong, and fast. Felt a jolt of shock going through it and immediately knew what happened, and sure enough - I lost almost all my sensation in that arm. Luckily I recovered from that, but to this day I have diminished sensation in parts of my arm
Now here is something I have yet to try out, but the concept sounds easy enough and quite fun. I heard about this phenomenon of sensory illusions, like the well-known ones for sight, making things appear to move that are stationary and so on. This apparently also exists for heat sensation, in an experiment called a thermal grill (or something like that). Basically you have a bunch of rods, half of them cool, half of them warm (differ not by much). It is said that putting them on your skin (alternating hot and warm) gives the illusion of a much higher temperature, akin to getting burned. Perhaps someone would like to try it out?