Ooh, I have another relatively cold experience in strangely similar situation. We had this funny refreshing exercise that lasted for a couple of days where I was carrying a nice bonus anti-tank mine (10 kg pure concrete) - a "weight weapon" as they say, "for the exercise" they would say. It was mild, -5 C in the beginning of the day and snow was relatively wet. During the day I ran, crawled and jumped in the snow like crazy (more like had to) and at some point ended up as guarding the minefield when the others were doing something little more interesting. It was one of the coldest moments I've endured, laying on the snow, trying to squeeze in the body armor and cursing man's tendency to sweat heat away before he really needs it. They kept me waiting for an hour.
When it was finally over, we had this short 5 km walk to the encampment area and enjoyed the fresh air greatly. During the day the temperature was gradually getting lower and lower until we hit -25 degrees at the night. I especially liked the part when your buddy comes to wake you up and tells you it's your turn to go guarding! Next morning we had, surprise surprise, this rush to some other place to repeat the yesterday and so we folded the tent as quickly as possible. In the evening (or in the night depending on your point of view) we found out that the bastard was frozen and several men were needed to pull a single fold open.
The same thing happened with clothes but in that situation, who would want to change them any way? When finally returning to home, unused clothes resembled more a slab of granite than something you put on.
Please don't make me remember more funny stories from the happy days...
Mika