Feeling so cold you shiver is an awful, horrible experience, but there's a hidden perk. Shivering can actually burn some calories through the magic of biochemistry.
White fat cells store energy and cushion the body, but brown fat cells are for generating heat and burning calories. The brown ones are the ones you want. And how do you get them? Exercise, of course. Regular exercise increases levels of a hormone called irisin, which can turn white fat cells into brown ones.
But what does this have to do with the bone-chilling cold of winter? Well, shivering in the cold is your body's way of manually generating muscle heat. Your muscles rapidly contract when you shiver, much like during exercise, stimulating your irisin production. The more you shiver, the more your white fat cells start to act like brown fat cells, generating heat and burning calories. As Reactions notes, shivering for 15 minutes in freezing cold could burn as many calories as one hour of exercise.
That said, this does not mean you should sit in the freezing cold instead of exercising. But if you hate being cold as much as I do, knowing that shivering can keep you on track with your dietary goals might help you warm up to the winter season a bit.
The Cold Truth About Fat [YouTube]