Ask students to place one hand in the cold water and one hand in the very warm water, and leave them there for at least one minute.
Then place both hands in the medium temperature water. What temperature does each hand feel? (I found it easier to place one hand at a time in the medium temperature water, as the different sensations coming from each hand make it hard for the brain to process what is going on in each hand.)
Students should find that the hand that was in the cold water will feel warm, and the hand that was in the warm water feels cold.
The temperature receptors, called "thermoreceptors" in your hand detect temperature changes, and signal that change to your brain. After a while in water of one temperature, they get used to that temperature, and on being immersed in a different temperature signal the relative change in temperature. Hence the colder hand feels warmer, and the warmer hand feels colder, even thought they are both immersed in the same temperature.
Here is more detail on the receptors that detect temperature:
We have both cold thermoreceptors that are activated by cold, and warm thermoreceptors that are activated by heat. Cold receptors fire more signals when they are cooled, and decrease the signals sent during warming. Warm receptors increase signal rate when they feel warmth and decreased signal rate on cooling. But, in addition, either thermoreceptor, when exposed to the same temperature for a while, will tire and stop sending signals about the temperature. Hence the hand that gets used to cold has cold receptors that are tired, so when it enters the medium water only the warm receptors will fire. By contrast, in the hand that gets used to warm, the warm receptors have become tired, and when the hand enters the medium water only the cold receptors will fire. Hence different signals are sent about the same temperature water.