I am so glad I listened to this at home instead of work so that no one heard me yell "YES!" after Dave said "Mackenzie-Chown" and about three times after the reference to North of 60. I literally remember an episode in which someone's foot froze. Like, solid. I want to say that Teevee did something stupid (because he seemed to do that a lot) and got stuck out in a blizzard with someone else and it was the other dude's foot that froze...? Regardless, it was effing cold out and I felt cold watching it. I really liked that show, but frozen foot = too cold.
I'd toss in Game of Thrones, which I don't watch normally but did watch the first season of, when it came out; it wasn't really the outdoors bits that made me feel cold, it was the inside bits, whenever they were at Winterfell. Being inside the castle almost looked like it was colder than being outside.
Not sure if it really qualifies, but there's an episode of MST3K where they mock a movie called The Final Sacrifice (it's hilarious) which always makes me feel cold... pretty sure it's YouTube-able, if you haven't seen it, but it doesn't take long to see why. It's not always snowy, but the grass and trees look like the frost long ago carted off any warmth...
Non-TV side note, I was only at Brock for a year, but I remember the Mack-Chow complex more than any other- and not just because it had a weird name (not that one could judge, with the Earp and newly-built Lowenberger residences nearby), but because I was a) always getting lost in it, b) always feeling too hot or cold in it (there were a few times where it became so warm and dry in the winter that it was a 'Wear moisturizer or learn to live with burning dry skin' situation- the rest of the time, it was a freezer), and c) had that one courtyard that I could never find unless I was already lost (Brock's own Davy Jones' Locker). I am SO sharing this mini on Facebook. :D