So I ran through last winter -- many days of -10 without wind chill (no debate on whether it exists.. i can feel it). Why do it? Mostly cause I'm a solitary runner. And also because I believe it makes me a better runner. Nothing makes you run faster during a freeking cold training than escaping the cold back for the warm indoors.
But here are a few things I've learned:
-Wear layers: A base layer (tight fit) that lets sweat escape; a shell to keep the wind out; and a midlayer if you're fine
-How cold should you be: Yes, you should be slightly chilly when you start your run. If you're toasty, then there will be problems once you get rolling
-Key gear: I like tights with fleece built inside (Sugoi's Sub Zeros). A hat that covers your ears. Mittens that keeps your fingers together (like a wool sock.. i kid you not, some people do this)
-Run smaller steps in the snow. Cause you'll slip, that's why.
-If it hurts to breathe, don't run outside. Try inhaling -15 air.. the feeling of my lungs freeing is somewhat gross.