There seems to be a spot where the cleat attaches to the bottom of most biking shoes that is not insulated at all. I've found that to be a cold spot on a lot of shoes.

Another approach I've seen people use for cold weather riding is biking sandals, such as the Lake or Sidi styles. They wear one or two pairs of fleece or wool socks with them and some sort of cover on top. I've never been able to wear the biking sandals, but it seems to work for some people.