It is the body's short term involuntary response to being suddenly immersed in cold water. The waters around the UK are officially cold (10 - 15°) and when the body enters this cold environment there are a number of physiological responses. The sudden lowering of skin temperature is one of the most profound stimuli that the body can encounter. The responses tend to be short lived, but threaten survival.
First of all, closure of the blood vessels in the skin which results in increased resistance to blood flow. The heart then has to work harder and blood pressure increases. At the same time there is a "gasp" response which can result in water being breathed rather than air. Concurrently the breathing rate changes dramatically, it can increase by as much as tenfold. All these responses contribute to a feeling of panic, and are more difficult to manage if no lifejacket is worn and the casualty is struggling to stay afloat. After a while the body gains control of itself and much of the excessive reaction reduces. However coping with cold water shock certainly takes its toll in terms of long-term survivability. Unsurprisingly one effect of cold water shock is to induce a heart attack, even in the relatively healthy and relatively young - hence the possibility of wrong inquest verdicts because it is water in the lungs that is thought to be the cause of death (or sometimes even hypothermia) when it is in fact heart failure that has caused the water to enter the lungs
All information is from RLNI and google searches