I moved to treadmill ever since temperatures got below 5C (40F). It might seem not that cold to some (after all most of cold weather running gear is labeled for 40F and below), but for me it is so much easier to persuade myself to stumble downstairs to warm basement, turn on "Doctor Who" on Hulu and do my normal 30-40 mins run on the treadmill in the morning, than to try to push myself out of the door to cold and windy weather, especially when it is also dark (and it is still dark at 5:30am).
Of course running on treadmill isn't the same as running outside, but hey, it is inside, warm and I don't need to put on more than one light layer of cloth on. I also can start and finish my run with 10-15 mins of walking without being afraid of freezing into an icicle.
My boyfriend however doesn't like treadmill, and he refused to run inside even when temperatures went down below -10C (14F). But he has a benefit of working from home and he can go for a run when sun is out. So after looking at him, I decided to give it a try too, at least on the weekend I have a benefit of go for a run when sun is up and all squirrels are already wide awake.
AS you can see, we don't have too much snow or ice yet, so my usually running shoes worked well. I put an extra layer on, and especially in leg area it helped a lot (the wind was pretty cold that day). And besides getting cold in my face/nose area when running against the wind I didn't get any problems, after I warmed up it wasn't cold at all. However having glasses on did make nose cold quite a bit, but it was sunny, so I had to have them on. I might need to try some facial protection next time.
Of course, I didn't even think on walking after my run as I usually do to cool down and I went inside finished up by stretching instead.
After all it wasn't as bad as I tried to imagine it to be, I guess it is important to wear right gear to not get too cold (or too hot to that matter), just enough to feel comfortable. If weather cooperates, I might take my weekend day time runs outside to spice things up a bit.