Layers folks, layers.
We typically get into the -20s here but it is pretty comfortable outside if you dress properly, gloves, woolly hat (toque), scarf etc. Put you hand in your gloves when they are warm (i.e. inside the car/house etc). One week a year we get into the -30s and that is pretty damn cold, the wind alone makes the skin n your face feel raw and you get the feeling that the hairs in your nose are freezing...