On the hill, the coldest days I have had have been wonderful, still days when the snow is firm and the ice plentiful. Not once have I felt cold on those days, though many have been well below freezing point.
The coldest I've felt have been those days where the snow is really sleet, blowing wetly into your face, the temperature hovering a few degrees above freezing, and the wind howling.
Glen Pean, my first winter bothy, was one of the coldest experiences of my life. It was -15c in the glen outside, and the sealed western end was full, so 3 of us huddled in the old "barn" like east end (I believe that's been improved) in front of a truly poor fire, with our mini bottles of wine shoved down our trousers to try and warm them enough to drink!
Lairig Leacach was another cold bothy, the floor didn't melt until our second night there, despite the stove, when we finally got the room to 4 decrees C, at which point the mice came out. Had the gear then, so we weren't cold. Well, not too cold.
The coldest I've ever been on a mountain was, ironically, in Morocco on a night-time ascent of Jbel Toubkal in September 2002. It was about -15c and the only time I've walked uphill on a mountain whilst wearing a down jacket. As soon as the sun rose, over the Sahara, the heat rose rapidly on the summit. By the time we got down to the valley in the afternoon, it was +32c.
The coldest my feet have ever been was after a wash in the stream by Bearnais Bothy one winter. Flippin' heck,, that hurt as the blood returned once inside in front of the stove.