I've felt warm and nice in a -40 C weather with still, dry air and cold as hell in windy, moist -15 C situations.
The one thing I've learned so far about cold weather: if you use an external heat source (fireplace, heater, ...) to warm up every now and then during an extented stay in freezing temperatures, you'll likely be cold the times you are not near the heat source.However, if you produce the heat with your muscles aka exercise and movement, you'd be surprised how warm you can feel in -15 C without getting indoors for a whole day.
All and all, cold is very much related to your own mindset.