It is not as bad as many mentioned above.
We arrived on Christmast day in the middle of the winter.
We are from South Africa. When we left South Africa it was 36 degrees plus and when we arrived it was 36 degrees below.
It is cold, something to get used to but it is fine.
You layer your clothes and dont have to have all the thick jackets as mentioned.
You get jackets with down feather and it is more than enough with layer of clotes underneath, mittens scarfes etc.
All the homes and malls have central heating.
There are allot of fun things to do in the winter, like skiing, tobogganing (going downhill with a sleigh) ice scating etc.
As mentioned the West Edmonton mall, where there are allot to do.
Last winter it went to 44 degrees below.
You can still go outside in the snow but I would not reccomend staying outside when it is below 40 degrees.
Most vehles you can remote start from inside your home and then when you get in, it is already warmed up.
We have been here for almost a year now on wp (pr pending review at Pretoria after waiting for response over two months and eventually got the recommendation for further review) and we really love it here.