It usually feels much colder near freezing because of the humidity.

Once it's past about -30 it's extremely dry, and it feels much less cold. I'm much happier at -20 to -40 than just above or below freezing. Also snow just wipes off and you don't get wet.

The coldest day of my life was snowboarding in Juneau, AK. It was only -30C or so, but it was really, really humid. I was wearing everything I wear when it's -45, and I was freezing all day. I mean I couldn't feel my feet, hands, face and then had to constantly do pushups and jumping jacks to try and stay mobile.