I grew up in Edmonton and you have to be honest, -35C is an extreme temperature that is only rarely reached. Almost every winter gets to -20C or -25C but -35C can happen but isn't an every winter let alone every day occurrence.

And anyways... it's a dry cold :-) Winters here in southern Ontario are fairly mild but they feel worse to me than where I grew up. A damp -10C is just awful, so hard to get rid of the cold feeling everywhere.

North Dakota and Minnesota are colder than Montana (at lower elevations too). Take a look at the climate data for Fargo, ND for instance, significantly colder than Calgary. It's colder because it's more continental, and you often see a big bubble of arctic air dipping down on the weather map.