Yet interestingly, I am in fact warmer here than at some of my previous institutions. What many people fail to recognize is that feeling cold is very localized by nature. Here is how it goes in Madison for me (your experience may be very different).
From June to October the weather is wonderful, and I keep my car parked in my driveway. From November to March I move it to my heated garage (which is heated to be just above 32 Fahrenheit degrees). In the morning I get into a warm car and drive 10 minutes to work. At work I park the car in an underground parking garage (Union South), which is right next to the CS building and is always at 55 Fahrenheit degrees. I exit the car and walk for 3 seconds outside before getting into the CS building. For lunch, I eat something brought from home, or get something in the Union South next door, or get into the warm car (a four minute walk) and drive to a nice restaurant (the whole lunch can be done in 40 minutes but I usually allot 1 hour for it). At the end of the day, again I walk outside for 3 seconds, get into a warm car, and then drive 10 minutes home to the garage.
During the winter break we usually travel somewhere warm. The Southwest is my family's favorite. There are now direct flights from Madison to Las Vegas, San Francisco, Florida, and Texas, among others.
Around mid March the weather clears up, I park my car in the driveway again. April and May are usually nice, except for occasional cold bouts.
Thus, as you can see, I'm very comfortable during the winter in Madison. In fact, I usually dress very lightly in winter during workdays (T-shirt, shirt, light pant, no hat). I walk around at school in sandals (I keep a pair of sandals in my office). I hire someone to clear snow from my driveway and sidewalk. I also buy seat covers for my car (highly recommended even if you have a heated garage; it works wonder in both winter and summer). I usually feel cold only when I do long hiking during the winter weekends (but those are beautiful hikes, see here for examples). Another nice thing about Madison winters is that the days are usually sunny. So sitting in the office and looking outside, you won't feel depressed.
It is also worth noting that Madisonians are very active in winter, with cross-country skiing in town through the Arboretum and golf courses, and beautiful outdoor ice skating on the lagoons around the city lakes. And some are even robust/enthusiastic/crazy (choose your favorite adjective) to bike to work year round.
For more information, you can check out living in Madison, Wisconsin.