I've walked around (short distance) in a T Shirt in -25 (Lulea, North Sweden) but that was just to the nightclub around the corner from the hotel. Likewise, it didn't feel that cold. Just as we got back to the hotel, my Swede (actually my customer) I was with suggested we just stand there for a couple of minutes to experience it. The way that kind of cold creeps up on you is scary!
I rode a bike in below freezing weather. The key is to not sweat. Sounds weird, but as soon as you start sweating a bit, you've lost the game. The only thing you can do is play the zipper game, trying to keep from overheating, and drink like a fish to avoid dehydration. I did a race in just above freezing temps, and started sweating profusely, and actually wrung out my clothes when I got back to the hotel. I left a huge puddle still, and heard dripping most of the night. It's an art, trying to not sweat, and yet stay warm and keep pedaling. Yikes... And a fine fine line too...
EDIT: There was a 'pro-class' part of the race, and they come whizzing by in standard summer biking attire. Bibs, or standard shorts, and most were wearing standard short sleeve jerseys with standard gloves on, although some did wear full finder gloves. And standard riding shoes too. I was stunned. I would not have the courage (stupidity?) to ride like that. I did the race the next year, actually, and didn't quite sweat as badly, and it was actually colder so I figured I came close to winning the 'not a sweaty mess' prize, but the pros were still basically riding naked. I had thought of riding with less clothes that second time, but it's a 30 mile race, in the woods, and aid stations are spaced 10 miles apart. That is a LONG WAY TO RIDE if you are nearly frozen solid. I didn't want to get hypothermia. (The secret for the pros was they had cozy RV's to keep warm before their entry in the paddock for their race. Such a coddled bunch of wusses...
I bested my time too. Awesome...