I don't really like to answer with a link, but a blog I follow had an interesting post and discussion about cold weather exposure.

http://naturallyengineered.com/blog/does-cold-exposure-make-you-stronger-or-weaker/

I hope you'll find it relevant.

As a minor follow-up (which will only make sense if you read the blog and the comments) I now still intermittently take cold showers and through the winter I never wore a coat or jacket (though I did keep one in the car in case of emergency).

I take my ability to thermoregulate as a sign of health. One way I can tell I'm fighting off a cold is when I can't seem to regulate my body temperature.

Things that I've found correlate with increased ability to tolerate the cold:

1. Cold exposure (like Aaron mentions), holding out for as long as possible on wearing a coat, not traveling to a warm climate in the middle of winter, etc. I'm also walking a few miles every day, so my body has had time to adjust slowly to the change in temperature.
2. Increased muscle mass. Strangely, my body fat doesn't seem to matter as much, but when I've got a bit more muscle I can be a furnace.
3. Lowered stress: things like getting enough sleep and not getting sick.
4. Leptin levels?: lately I've been doing a leptin reset sort of thing, eating a lot of protein in the morning and not snacking, and my cold tolerance has been awesome. It could just be a coincidence, though.

Just throwing this out there, but on days that I don't take a significant amount of magnesium I am colder. It is essential for thermoregulation and tons of other things which might take more priority than increasing temperature, and HGs got more of it than most people do. I'm talking like 600mg of the stuff.

For many years I was chronically cold. I suspect my thyroid was not functioning quite right - at one point I had about ever symptom of hypothyroid except the weight gain. On a primal diet, I now burn warmer than many people I know (most of whom are 50 lbs at least heavier than me). My weight has only changed by a few pounds.

If you are losing/have lost a lot of weight, are eating at a moderate to large calorie deficit, or practice fasting - you're probably going to have a problem with feeling colder than you should at cooler temps. With a lack of resources the body redirects heat to vital internal systems like the organs and leaves your skin and limbs out in the cold. I eat a lot, and it keeps me warm. If I feel colder than usual I often realize I haven't eaten much recently, and a meal with fat and protein heats me right back up.

I have a lot more problems with heat in the summer now, but I would much rather get overheated sometimes than live through the long, freezing, miserable winters I used to have. God that sucked. Right now it is 52 degrees in my apartment and I am perfectly comfy in yoga pants and two thinnish tops.

I've always been a bit of a human battery; my hands and body in general were always warm, even in relatively cold weather; my mum, who is hypothyroid and always cold, uses me as a supersized hot water bottle whenever she's with me on the sofa. However, it's not like I never got cold; I'd still wear a scarf and jacket in the winter. However, when I went Paleo - specifically when I increased my fat intake - I became a lot more resistant to cold. I find I get too hot wearing layers, so I dress much lighter now.

That said, I find my cold tolerance decreases when I fast intermittently. For me, its the only unpleasant side effect of fasting.

I do think that paleolithic peoples used the hides and furs of animals they killed for insulation; I don't think they had babor gear and goreTex in those days...:-)

Are you VLC? You may need more carbs. I had this same experience and solved it by adding more carbohydrate to my diet. Sweet potatoes - not just for post-work-out anymore :)

I find myself getting a lot colder these days. I attribute it to the loss of Body Fat through Paleo. So yes, Paleo indirectly caused me to run colder.

Well I've been Paleo for over a year. The drop in bodyfat has sent me under whatever coverings I can find. In the gym, I'm the one hogging the heater! In the winter I'm cold! I layer to regulate my body temp. I like the sun and the 100f temps!

High blood glucose actually is believed to be protective for falling temps from ice age.

Check this stuff out:

Tibetan monks can raise their body temps by meditation alone: http://media.abovetopsecret.com/media/911/The_Sushumna_-_Tibetan_Monks_Melting_Ice_Meditating_in_Himilayas/

The ICE MAN! http://www.youtube.com/watch?v=madoDvtKEes

Ugh, I've always been cold, usually feel cold, my body temp is 4-5 degrees lower than everyone else's and has been since I was a kid. On the occasions I ran a real fever my mom had to explain to medical staff that 98 degrees was actually rather alarming.

It's great when I'm in the Australian outback or in Death Valley, not so great when I moved from California to Massachusetts. My husband says I am a lizard and frankly, I do envy their "heat lamp and hot rock" lifestyle.

Paleo has not changed this for me.

Just saw this article today about how you burn "brown fat" to deal with the cold. Maybe you've used yours all up!!

http://www.newswise.com/articles/view/583927/?sc=dwhr&xy=5049556

I also read about the Shackleton adventure and how when it was "only" like minus 20 in Antarctica they were all tearing off their shirts and feeling overheated. I guess it's a matter of getting used to it? Maybe because we keep going in and out of the cold we can't adjust properly?

I am known for never wearing a jacket and basically live in t-shirts whatever the weather. I own two jackets: one smart one which I carry all the way to my destination and then put on when I ring the doorbell or enter a restaurant only to take it off again. The other I bought from a second-hand retro shop and I think it was made in the 1980's and looks like something out of Breakin'. I wear it for effect, and for the opportune moment when I need to pop and lock.

Simply I hardly ever feel the cold, it is about 2 degrees in London at the moment and I only wear a jacket so children don't point at me and cry. People go "ooouuuuuggggghhhh" when I walk past and though I used to think they were going "ooooooooohhhh" I now realise it is definitely an "ooouuuuuggggghhhh" and not anything to be smug about.

I don't know what it is, but I seem to generate a lot of heat. I would love someone to follow me around with a body-temperature meter just so I could see if I am in fact warmer than everyone else. I am a lousy bed-partner; at best think 1994's "The specialist" Stone and Stallone sweat scene, at worst you will find me sleeping on the floor just so I can get away from the fiery blazing hell furnace that is a woman's sleeping body.

But I have one weakness. If I do on the rare occasion get cold, such as not eating all day and being stuck in the wind, I literally shutdown. I go very quiet and hardly move. It seems that if I lose my core-temperature it is deadly and no amount of toprock, uprock or 6-step are going to get me going again.

It is then food food food and nothing but food until I flame-on again.