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Researchers studying lethal hypothermia observed paradoxical undressing in 25 percent of the 69 cases studied. They note that the urge to remove clothing is the result of peripheral vasodilation: the body releases the constriction of blood vessels, resulting in an overwhelming feeling of heat. But they also observed something strange. Bodies were found hidden under beds and behind wardrobes, squished into a shelving half-naked and dead from cold. They named it terminal burrowing behavior, a last-ditch blast from the brain stem producing burrowing behavior the likes of which are associated with hibernating animals.
The smug, heat-seeking side of me would be pleased to report that cold weather activity is inherently dangerous, but alas, so long as one is properly attired, working out in the cold is relatively safe. According a paper written by Dr. Gordon G. Giesbrecht from the Health Leisure and Human Performance Research Institute at the University of Manitoba, “there are few contraindications to full physical activity in environments as cold as even -25 to -30°C. Proper preparation and knowledge will enable safe and productive training and competition.” For some excellent advice on dressing for a jog on Hoth, you can see the paper in full here.
Cold weather athletes will want to watch out for fatigue, as well. The link between fatigue and hypothermia was brought to light when three people died during a 45-mile competitive walk in England, their wet clothes and tiredness resulting in their untimely deaths.