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This is from drgreene.org:
(cliffnotes: inhaling cold air can be bad for you, but not really in the small amounts hitting a bong)
First, cold air affects an important defense mechanism -- mucus transport. The entire respiratory system is coated with a very thin layer of mucus called the mucus blanket, which rests on tiny hairs called cilia. This mucus blanket traps particles and organisms before they can reach the lungs. This constantly moving blanket acts as a conveyer belt to move the particles out of the respiratory system. Proper action of the mucociliary blanket depends on the mucus having the appropriate mixture of stickiness (to catch the particles) and fluidity (to move the particles up and out). When this is altered by dry air, irritating chemicals, cigarette smoke, or any other factor, the respiratory system becomes more susceptible to infection. Cold air stimulates an increase in mucus production, but like other substances, mucus becomes thicker in colder temperatures. Thus, inhaled particles are cleared less easily when a person breathes cold air.
The second area where cold air impacts respiratory health is in the nose. The nose is a remarkable organ designed to condition inhaled air in order to protect the delicate lung tissues. Whether the inhaled air has a relative humidity of one percent or ninety percent, the nose adds or extracts moisture so that air reaching the lungs has a constant relative humidity of about 75%. The same is true of temperature. When breathing through the nose, one may breathe in air at 40 degrees Fahrenheit or at 100 degrees Fahrenheit, but within a quarter of a second the air temperature is quickly brought to 98.6 degrees. Many tiny blood vessels are used to affect a temperature exchange. When a person breathes cold air, the tissues lining the nose swell as the capillaries dilate, bringing warm blood to heat the cool air. Excess blood in the nose is the cause of nasal congestion (nasal congestion is backed up blood, not increased mucus). In addition to the congestion, the mucus normally present in the nose becomes increased and thicker. Cold air, by itself, can produce nasal congestion and stuffiness, which again make it more difficult for the body to remove inhaled viruses and bacteria.
The third area of impact is in the lungs themselves. If cold air reaches the lungs, the lungs respond by releasing histamine. In people with sensitive airways or asthma, this causes wheezing. In fact, many theorists believe exercise-induced asthma is actually triggered by room-temperature air reaching the lungs in large quantity due to mouth breathing, rather than directly from exercise itself.
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