I've worn a beard for some 20 years now. I've shaved it off a few times, once was in the middle of January. No particular reason, I just got carried away with the trimmer and decided to go all the way. Boy did I regret it. The next day I was without a vehicle and it happened to be the coldest day I've ever experienced (-67*C with windchill). I stood and waited at the bus stop for over 15 min. and regretted every second of it. Never again would I shave in the middle of winter.

While I only sport a light beard and moustache, I do find it keeps the face a tad bit warmer than a clean shaven one. It maintains a light air film on the face and thus is a bit warmer but nothing like wearing a scarf or balaclava.

The only negative with the facial hair is the frozen exhale from the nose on the moustache. After a while it just encrusts and actually insulates me from further cold winds. After our football team came home with the Grey Cup, I stood at the fieldside stands waiting for an 1 hr. to welcome them home in a rally. It was only -34*C with the wind chill last week. The parts of me that got cold - were my bare cheeks and my fingers. The rest of the body was fine.

YMMV