That's what people ask me when they see me before or after I've come back from a run in cold temps. Case in point today, I met up with co-worker JS for 5 miles before work. The temperature was 12 degrees, 3 with the wind chill. I treated today's run as a recovery run after last night's intense speed workout. We ran 5 miles in 44:22 (about 8:50/mile). As I was walking to my desk, a bunch of co-workers barked "I hope you didn't run outside today!" I immediately responded "I sure did!"
Personally, I would much rather run in these conditions than 85 degrees and 100% humidity. There is nothing you can do to beat the heat. No matter how much you hydrate, wear light layers, the heat has a way of draining every ounce of energy from you. As long as you dress properly, running in the cold is not so bad.