Biting. If it is too bad we'll call it biting because it feels like it is biting your nose. (Bitingly cold, for instance). Icy. Snowy. Blustery (only if there is heavy wind to go with it)

I live in Minnesota, where it is currently -20 C. Bitter cold, is often used to describe extreme cold. Bone-chilling is a good one. Nippy is used, usually for less extreme cold, along with "There's a nip in the air".

Parky