I grew up in northern Iowa, so the Twin Cities were our closes major metropolitan area. My mom's family is from 2 hours north of them. My wife's parents both grew up even further north. It gets cold, but once it gets below 0F it all feels roughly the same. At that point there is no humidity in the air, which is what really makes you cold to your bones.
I think the biggest thing people have to get used to is that there is roughly a 120F temperature swing from January to August.
One winter I was vacationing in Beijing, Changchun, and Haerbin. Beijing was about -10C, cold I guess. Changchun was about -20C . I took a bus to Haerbin and saw the mercury fall to -40C (they have digital thermometers at the front on the long distance buses in NE China!). Anyways, there is a huge difference between -10C and -40C, when I got back to Beijing, it felt fairly balmy.
Yea I wouldn't recommend doing anything other than hopping between buildings or vehicles when it gets down to -40 (same in both C and F, which I think is neat)
-10C is 14F, which I agree is a pretty nice day if you're properly outfitted.
You can actually do stuff in -40C, just wear a lot of clothes and don't expect your digital camera to last very long when you are trying to take picture of carved ice sculptures and ice bars, etc...
Honestly, the coldest winters I spent were in Southern China, even though it was 5 to 10C out, no indoor heating really sucks and will beat you down quickly.
I think the biggest thing people have to get used to is that there is roughly a 120F temperature swing from January to August.