Ah, yes, the one time I was really cold was at -40 in Saskatoon killing time after a job interview. Went out walking in my usual winter clothing (socks, trousers, sweater, sport coat -- all wool -- shirt and tie, with a lined trenchcoat, hat, gloves and scarf as concessions to the wind and snow). My wife later called from Montreal to let me know there was a cold warning for the entire Canadian Great Plains with people advised to stay indoors. (Would have been boring to do that -- I got to see a museum and do a little shopping.)