Since I'm not much of a heat sink, I find that the cold affects me in odd and annoying ways.
For example, after I drink a 32 ounce soda or other cold beverage, I'll start shivering -- even in relatively warm weather.
More annoyingly, when I go from a warm place to a cold place (including getting out of a warm and toasty-comfy bed in the morning), I'll get a really strong urge to cough.
And it's not the kind of polite, scratchy-throat kind of cough. More like hacking up a lung, "Is he going to hurl?" kind of cough. Almost a soul coughing , if you will.
Strictly speaking, I guess it's not a gag reflex. It's more like photic sneezing, only triggered by a drop in temperature.
It's still pretty annoying, and another reason why I dislike winter.