I stayed one night in an ice hotel. Absolutely beautiful lit up by LED lights and with ice sculptures. It was pretty cold by my SO couldn't sleep as it was -10f, She said when she closed her eyes she thought, "don't fall asleep, you will freeze", so we bailed. They provide the sleeping bag/liner and instructions (no cotton pajamas etc..)
Cold can be very dangerous though, because hyperthermia makes you not think clearly about what to do next.
I also have a belief that keeping a hot beverage ready-made in a thermos (tea or just hot water) should be considered a safety item when winter camping, sea kayaking, etc. Warming yourself from the inside is more effective than trying to throw on extra layers.
[1] https://www.cbc.ca/radio/day6/episode-335-100-days-of-sean-s...
In my mind, if a lake is that frozen, we're in a war against nature.
You’re really cold? Eat. Run. Increase your insulation.