There's a good possibility of sending the snake into shock and potentially killing it. You always want to make sure the pinky is defrosted and warmed to at least room temperature. This doesn't take too long in warm water with a pinky - but with larger sizes of feeders it might be advisable to put the mouse in a plastic bag and then place it in water - simply so it will be easier to physically feel the mouse and make sure no cold spots remain. Pinky's are easy to un-thaw, just remember with the temperature of the water that you're only looking to de-thaw the pinky, not cook it.
I've heard microwaving mice-icles suggested every now and again, but I'd avoid it.... It's too easy to over do it and possibly have a mouse explosion on your hands. I don't know about you - but thats not a mess I want in my microwave. And also it more difficult to get the thawing just right, the outsides may be scorching hot while the inside is still semi-frozen. Ever microwave a burrito at too high a heat only to find that the outsides are scorching hot while the inside is frozen? For us its just unpleasant, but for a snake it could prove dangerous.
