Read for instance RT
It may be the middle of a freezing winter here in Russia but that’s not stopping the determined from taking a dip. A midnight immersion in water on the 18/19 January is the traditional way to celebrate the Orthodox holiday of Epiphany.
The date is considered holy by Christians, because on this very day Jesus is believed to have been baptized.
Russians believe that a priest can bless a river or a lake on this particular night and turn all of its water into holy water. Immersing oneself in it washes away all sins, it is said.
Yahoo has this video from Sochi
There is this one from the Red Square
(full video here on RT)
And there even was one BBC guy doing it
Image courtesy of Wikimedia Commons