Same as I run in the heat to get used to running in the heat, I run in the cold to get used to running in the cold. This is because when race day comes, I'll know how to prepare.
I'm in Central Florida so it doesn't get super cold or icy. My Sunday race started at 6:15 a.m. and it was very cold to me, in the 40s. I wore my short sleeve BGR preserve the sexy shirt, running capris with leg compression sleeves, running socks and a "throwaway" hooded jacket. I was very sorry I didn't bring groves but was able to pull the jacket sleeves over my hands. The jacket was designated "throwaway" because it was way too big, a 1x and I now wear medium or large. As I got heated from running, I left it by an aid station where they donate"throwaways" to shelters.
As far as tips, if super cold I would wear a hat, hoodie jacket, running tights and something to cover my mouth/nose. I don't like cold hands so I use HotHand handwarmers inside gloves. I tried treadmill running, doesn't work very good for me for anything over 30 minutes.
Finished: Walt Disney World Marathon, January 13, 2013.
Finished: Disney Princess Half, February 2013
Finished: Orange Blossom Half and 5K, March 3, 2013
Finished: Divas Half, N Myrtle Beach, April 2013