There are different types of cold: wet and dry. Personally, I have mostly experienced dry cold. It can be -40 (like this week) and I am pretty comfortable in it. A few extra layers are required but once you get in the house you warm up pretty quick and go about your business. These photos are from last fall around this time along the Avalon Peninsula, Newfoundland. It seemed pretty nice. No snow (which is always a winning point for me in December) but the kind of wet cold that a prairie girl just can't get used to. By all accounts it's not even cold! Above 0 in Alberta is shorts weather but I was left shivering for hours after a sunny walk to the cabin. Wet cold seems to get right into the bones. No amount of blankets or layers can warm you back up.
In the opposite fashion this wet cold doesn't seem to phase David at all. Meanwhile the slightest dip below zero in the dry cold and he's shivering so hard he pulls muscles (seriously).