Heh, yeah, it's warmed up the past couple days, it was -40 a week ago when I was getting christmas shopping done though. If you're bundled up to the max!? windchill is meaningless, and in the woods/park where I like to meander the trees effectively kill all the wind anyways, and we only get a couple days if any of sub -40 without the windchill. If you're bundled everywhere else but not wearing a mask or scarf in -40 your face chills very quickly, which causes your nose to run, which then freezes, and the moisture from your breath comes back and freezes all over your face - the cure for a rosy cheeked frozen face is some nice throat burningly hot hot chocolate, marshmallows add +1 warming power. Other than your face, without warm enough legwear your legs will get seriously cold, first the burning coldness (it's like when you make a snowball with barehands, it's so cold it burns, but it's your legs instead and you can't rub them and put them in your pockets), and then after a while just numb coldness, also if all your wool socks are in the laundry you'll get cold feet, which is really painful and no amount of curling your toes up will help.
Blah blah, coldness is cold, tl;dr: Pretty much, if you're dressed properly, -40, -20, no different, the only difference is an extra layer of clothing and face gear being a necessity unless you want to walk around with your head buried into your coat as much as possible. >_> I actually don't like it when it's -10 to 0-ish because my winter coat's too warm (sweating in subzero temperatures, not something you would expect)
Looks like Winnipeg's almost twice as cold as Montreal, Winnipeg: -22.8 average low for January, Montreal: -14.7 average low for January, and Vancouver: 0.5. Bah, I hate you, I miss BC (even though I was only a wee tyke when we moved away, snow for a couple days a year... *sigh*)