i recently finished a master's in exercise phys.
for the nerds out there:
http://www.ncbi.nlm.nih.gov/pubmed/7258827?dopt=Abstract
so we have evidence of bronchoconstriction during exercise in subfreezing, about 27 fahrenheit, temperatures...i haven't yet found evidence of whether this inhibits pulmonary diffusion capacity, leading to less than 100% arterial oxygen saturation. i am aware that a subset of elite athletes (and also some people with pulmonary disease) experience a limitation on performance due to pulmonary diffusion capacity (too much blood flowing too fast through the lungs which doesn't allow enough pulmonary residence time for full saturation of the blood with oxygen), and i would imagine that exercise in cold temperatures such as around zero fahrenheit (-17 celsius or so) would exacerbate this problem.
however i did also find this article which suggests an inhaled beta 2 adrenergic agonist (bronchodilator) doesn't improve performance of well-trained individuals in the cold, suggesting that any existing bronchoconstriction doesn't pose a significant limitation.
http://www.ncbi.nlm.nih.gov/pubmed/17316372?itool=EntrezSystem2.PEntrez.Pubmed.Pubmed_ResultsPanel.Pubmed_RVDocSum&ordinalpos=10
to echo some things said earlier in the thread: i definitely think some people mentally deal with the cold better than others. and it would be ridiculous to suggest that everybody physically deals with the cold the same: the aforementioned bronchoconstriction no doubt happens to different degrees in different individuals.
not sure if the combo of humidity and cold has been mentioned, that would likely play a role as well.
also habituation plays a role to cold response. for instance people exposed to cold temperatures for several hours a day repeatedly over a couple weeks have less of a shivering response and generate more heat from non shivering thermogenesis. other nuances of habituation to cold temperatures may differentially influence people's ability to perform maximal exercise in the cold.
to the guy that said his performance wasn't affected much in 94 degree heat. B.S. try running that same 5k in 55 degrees (without generating a bunch of hubbub, 55 is supposed to be close to ideal running temperature...there are actually equations that fairly accurately predict performance decrements for endurance events for every degree fahrenheit above 55...i.e. if you're training for a sub 3 hour marathon in good conditions and it's 75 degrees on race day, maybe 3:05-3:10 is a reasonably altered goal).
ok i think that's it for now. i don't feel like looking up more nerd articles.