I don't like a cold speculum at the gynecologists office, but I like cold metal objects for sex play. It can add to the stimulation of what is already an erotic act.
I *don't* like warm/hot objects inside me in a professional setting. I once had a transvaginal ultrasound, and the probe was so warm that it was sort of creepy. It was hotter than a penis would be, and it felt like there was some sort of alien inside me. I don't know about in a play setting, as I've never tried it.