Lady Gaga, Taylor Kinney and Vince Vaughn took an ice cold dip into Lake Michigan along with more 4,500 Chicagoans Sunday as part of the annual Polar Plunge to support the Special Olympics.

Vaughn, who was the guest of honor, was dressed in in a Chicago Blackhawks jersey and jeans.

"It’s too late to turn back now," The actor, who was raised in Lake Forest, Ill. told the crowd. "Let’s just get out and have some fun.

Lady Gaga, who made a surprise appearance, entered the water on the shoulders of her fiancé, Chicago Fire star Taylor Kinney, NBC5 Chicago reports.

Kinney was scheduled to participate in the event alongside his co-stars, David Eigenberg and Randy Flagler with whom he participated with in the event last year.

Last year, Jimmy Fallon took the plunge wearing a suit and tie and helped raise more than $1 million, The Chicago Tribune notes.

However, the Tonight Show host has vowed never to take the plunge again.

"I'll donate money. I'll do whatever else. I'm not -- I mean, that was just crazy," Fallon said.

Chicago has been suffering one of the coldest Februaries on record, but the temperature reached above 20 degrees Sunday. That’s a lot better than last year when Fallon took the plunge and temperatures barely reached the teens, NBC5 Chicago notes.

Image Courtesy of INFphoto.com