I moved from Texas to Wisconsin 15 years ago. Texas doesn't get very cold but it cuts right through you when it gets down in the 20's, because of the constant wind and lack of winter clothing. The first few years living up here took some getting used to but after you do, it's not that bad. Good boots, wool socks, a fleece hat, a t-shirt, a fleece hoodie, jeans, and a Walls or Carharrt coat gets me through the winter, even when it gets down in the zero degree range. Anything colder than that, I break out a scarf, ski mask, and gloves.
It's 14 degrees right now. Mid-20's is considered a veritable heat wave.