There is also a common misconception that you would freeze almost instantly if you jumped out of an airlock in space. Quite the contrary. A vacuum is actually an incredibly efficient insulator. Hence vacuum thermoses. Your body would not lose heat very fast. Not having a helmet on, though, would be very bad for your health.
NASA accidentally tested it in 1966: http://imagine.gsfc.nasa.gov/docs/ask_astro/answers/970603.h...
You can also have temperature from a photon flux.
Yes, it is even a very real problem for EVAs and spacecraft. One of the first things the Shuttle does is open up its radiators to help get rid of its internal heat. The astronauts doing EVA have a problem with heat too, they have to wear an internal cooling suit with fluid piped around their bodies.