This is a question that's been banding around the studio here and thought I'd throw the question out to you guys to see what you think - There are a couple of obvious ones like harsh sounding wind, or emphasising the high frequencies to make things sound like breaking ice. But what do you add when you want something to sound cold?
I like to use a spectral gate with a very narrow bandwidth over the top mids on real instruments to create drones comprised of a few sines. The sines generally play around each other and create beating that feels very empty. It gives you the ability to create that 'cold' feeling and still be in key with the musical elements, if that's what you desire.
I had to do this with a scene shot on a sunny day in London.
Director wanted cold/dreary.
What I did was muted all production tracks that had any happiness in them (birds chirping, happy walla, etc.)
Then, I put in some ambient sounds that subliminally make people feel cold, such as car-bys through puddles and wet surfaced streets.
Howling wind usually sounds very cold. You can usually use that both outside and inside. If your scene is outside in snow, make the small sounds (Mouth sounds, footsteps, foley, etc.) louder, and dampen the higher frequencies of distant sounds. Snow is kinda like acoustic foam, it dampens reverb and makes everything you hear clearer. If you can use non-diegetic sounds, try using high pitched tonal metallic bell and crystal-ish sounds in the ambience. Or if you're trying to create a more sinister mood, high pitched metal or cymbal bow scrapes are great, and also sound chilling/cold.