My first apartment in Calgary had an issue with the fire alarm going off in very cold nights since it was an old style that used (in part not the whole system) a piece of metal though the wall and went off when the difference between the inside and out side was to much (IE on fire inside). The issue was that when you keep the inside at +20C and the outside is -45C the alarm goes off and everyone has to go stand outside and wait for the all clear.

That being said I will take a dry Alberta winter over a damp one any day. -40 is fine with me (not if I stand outside too long and die though). Really once you are at -20 its not much different, just die/get frost bite faster.