My experience in the Midwest (and elsewhere) on colder days is that the biggest factor is wind. Even a relatively light wind on a cold day can make a big difference in draining heat from your body. Convection makes a big difference in the heat transfer properties of air.
Btw, you say "in the dry", but have you ever been in the desert on a cold night? I think you might reconsider just how cold "dry cold" can feel.