Don't lick your metal armor or weapons!
Now that would be an amusing sight. But man, painful as hell. xD
I don't think there will be much of a difference if you sleep out in the cold mountains or in a cozy, warm inn. Then again, who would even sleep outside if it's too cold, unless they were wearing several layers of fur or such.
And that reminds me, it always bugged me how in the trailers the Dovahkiin doesn't even have sleeves. I could imagine it's at least -10°C.