Here's something weird:
When I went to Chicago everyone was saying, "don't move here, it's too cold". Or, "yeah, it get's so freezing cold up here in the winter!" I'm sure it get's cold, and I have never experienced a "wet" cold. But I was looking at weather.com's "compare" feature and I compared Santa Fe, NM to Chicago, IL. It's telling me that Santa Fe, on average is cooler than Chicago, IL. The lows are lower in Santa Fe by 9 degrees and the highs are higher, on average, by 5 degrees. Interesting... But I still don't know what the "wet" cold feels like, and I'm sure that's all that's different.