Keep this in mind: NOTHING will sober someone up other than time!
Water: Once alcohol is in the bloodstream, it can no longer be diluted or slow down the absorption-drinking water once someone is drunk is NOT going to sober them up. It won't hurt though to have some water before they go to bed after drinking, this will hydrate them and reduce the severity of a hangover. If they drink water along with alcohol, this will dilute the alcohol while it's in their stomach, slow down the absorption, and reduce the chances of dehydration.
Caffeine: Same principle applies here, having caffeine once someone is drunk is NOT going to sober them up. The only thing they have accomplished by having caffeine while drunk is that they're now a wide-awake drunk person, but they are NOT any more sober! Also keep in mind that because alcohol is a depressant (slows down functioning of the central nervous system) and caffeine is a stimulant (speeds up the functioning of the central nervous system), they will have two competing forces working against each other and creating more stress on the body-it's like pressing the gas and brake at the same time in a car (which is generally not a good idea).
Cold Shower: They are now wet and drunk and nothing else! This will not sober them up in any way.
Exercise: The theory behind this idea is that if someone sweats more, they will get rid of the alcohol more quickly, because the three main ways the body rids itself of alcohol is to breathe, sweat, or urinate it out. However, the liver processes alcohol at a set rate, and no amount of physical activity will speed that up, no matter how much they're sweating! Also, engaging in physical activity while under the influence of alcohol makes someone far more likely to injure yourself.