I always feel coldest in spring, when I start taking off the winter layers, but that's pretty obviously a psychological factor - I haven't felt air on anything but my nose and eyes for months! So the slightest touch of a breeze on my arms and legs has me going "Erk! It's FREEZING here!" By autumn I'll be biking barelegged even though they're turning blue. Almost.

Biking in winter is all about the right clothing - I'm a lot "warmer" in winter, as in I don't experience that much of a temperature range inside all my clothes, than in summer when my internal thermostat has to adjust to the varying effects of sun, wind etc instantaneously.