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There are many advantages to shooting in cold weather. During the winter, the sun remains low in the sky, which provides a more favorable angle of light. It also hovers closer to the horizon at sunrise and sunset, extending the time at which you can shoot with warmer light. Finally, there are no bugs to eat you alive at dusk or dawn.
Most cameras handle cold weather well, but when extreme temperatures exist, there are considerations that need to be addressed. Always carry lots of spare batteries, and keep them inside a shirt pocket to maintain warmth. After they're changed, warm the cold pack in a pocket in case the swapped set runs low. Lithiums handle the cold better than alkalines. NIMH rechargeables do fairly well in cold weather.
When I'm cold and miserable, I stand about as good a chance of coming back with creative images as kids in the Sahara have of building a 10-foot snowman. I dress in layers of breathable, moisture-wicking fabrics, starting with thermals. These fabrics lift away any perspiration from the skin and lessen the chance to get a chill caused by dampness. I peel away a layer if I get too hot to maintain a specific level of warmth. Most heat loss is through the head, therefore a hat is a must. I also cover my hands and feet with waterproof, breathable materials. Pocket and toe warmers are highly recommended. To keep the battery pack in the camera warm, wrap a hand warmer around its location.
Exposure problems are common when shooting in the snow. Check your histogram often to make sure you're not spiking the whites. I tend to leave my LCD on the blinking highlights page as it warns me of any overexposure I may encounter. If I do get "blinkies," I fool the meter using the Plus/Minus compensation button to correct the exposure. The amount varies based on the extent of the blinkies. I bring plastic garbage bags to keep the camera dry in case it starts to snow. I carry one that's big enough to allow my fingers access to the shutter button and controls on the body.
CONDENSATION: Another big concern when shooting in cold weather is the build up of condensation on the camera and lens when you bring the system indoors. Put the camera into a zip lock plastic bag and let the moisture form on the plastic. Let it sit a few hours before removing it. An alternative is to put all your gear into a camera bag that acts like an insulator and lets it gradually warm up to room temperature.