Humidity. I'm guessing you don't live in a humid place because freezing temps are horrifically cold here. You will need a winter coat and multiple layers of your going to be outside for a while. I layer long Johns under my pants and wear my parka and a light jacket as well as 2 layers of socks. Everytime a northerner comes here they are shocked at the cold/heat. That's because the air here is full of water to the point that you will actually get wet just from the humidity, not even sweating.