I've personally always preferred to use cold water immersion over using ice packs to help me deal with my knee pain, back pain, and injuries.
Cold water immersion is more natural, I also find that its effects last longer than when I use an ice pack. Also, studies show that whole-body cryotherapy works better than local cryotherapy for pain reduction, and you can't do whole-body cryotherapy with an ice pack, unless they invent an ice jumpsuit o_O .
Let's see what the studies show.
In a 2015 Brazilian study, 13 healthy men and women were given an ice pack for 30 minutes and 30 minutes of cold water immersion 72 hours apart on their lower leg. The researchers discovered that the ice pack caused a greater reduction in skin surface temperatures than did cold water immersion. However, skin surface temperatures during the 75 minute rewarming period (after cold application was removed) were significantly lower in the cold water immersion group.
In an earlier study in 1998, researchers in Brigham Young University, Utah, USA, used an invasive needle probe to test both subcutaneous (just under the skin) temperature and deeper intramuscular (1cm below the subcutaneous fat) temperature changes caused by either ice pack application or cold water immersion.
They found that during the 20 minute treatment, the ice pack reduced subcutaneous temperatures more than cold water immersion did, and reduced intramuscular temperatures by the same amount as cold water immersion did.
However, during the 30 minute rewarming period (after both treatments were stopped), the ice pack group's subcutaneous temperature rewarmed more than the cold water immersion group. Also, while the ice pack group's intramuscular temperature went up, the cold water immersion group's intramuscular temperature continued to go down!
So it seems that cold water immersion leads to more prolonged cooling, which means a more prolonged anti-inflammatory effect and more prolonged pain reduction.
This makes sense, because water is extremely efficient at conducting heat away from your body and cooling it down. When you dip your finger in a glass of water that's at room temperature, the water feels colder than the air around it. This is because water conducts heat away from your finger quicker than air does.
Even though ice conducts heat faster than water does and ice is colder than water (the ice in the above study would have been 0ºC or lower, and the water used was at 10ºC), with an ice pack, there are several confounding factors that would make it conduct heat far less than water would.
For example, an ice pack isn't a solid block of ice, but it's full of either ice cubes or crushed ice. In this study they used crushed ice, and crushed ice is ice interspersed with tiny pockets of air that reduce heat conductivity. The outside of an ice pack is an insulative layer that serves to keep the ice inside cooler for longer, but this means it also reduces the heat conductivity of the ice pack. Also, water can perfectly wrap itself around your leg, with absolutely no space between the water and the surface of your leg. An ice pack on the other hand, will neither wrap all the way around your limb in most cases, it will also not seal itself around your skin nearly as well as water will, with pockets of air between your skin and the pack that will reduce heat conductivity.
One possible reason why in the 1998 study above, the intramuscular temperatures continued to cool after the cold water immersion was stopped, is because the water had cooled the tissues much deeper than the 1cm deep temperature probe they used in that study, and heat transfer from the superficial intramuscular tissues to deeper tissues resulted in further cooling of those superficial intramuscular tissues after the cold treatment was stopped. With the ice pack on the other hand, there was perhaps minimal cooling of deeper tissues, which resulted in immediate rewarming of those superficial intramuscular temperatures as soon as the ice pack was removed.
So basically, water is much more efficient than an ice pack at removing heat from your body and cooling it down. This results in cold water immersion causing more prolonged cooling after treatment is stopped, and possibly results in deeper tissue cooling than does an ice pack.
To add to this, another study also found that cold water immersion reduces sensory nerve conduction velocity significantly more than both ice pack and ice massage.
But You Might Still Want To Use An Ice Pack…
Ice packs still work, they cool your tissues and help relieve pain and inflammation. They don't do it as well as cold water does, but ice packs are more convenient than cold water immersion. You can walk around with an ice pack on for a few hours, you can't do that with cold water immersion.
Ice packs can also come in handy in the summer when the water in your tap isn't particularly cold.
So I would advise using both forms of cold therapy.
Here's an example of an ice pack that could work well for you.