Alcohol is actually very dangerous in exposure to cold weather. Here's why:
Alcohol causes peripheral vasodilation, that is, opening of vessels in the skin causing blood to rush to the periphery. It gives you the sensation of warmth because of skin flushing, but it reduces core temperature, since blood is shunted from internal organs to the skin. Second, it causes increased heat loss from the skin to the surrounding air through conduction and radiation since the temperature differential between warm skin and cold air is now greater. End result: hypothermia.
This is the reason why you see so many vodka-induced deaths of homeless drunks in Moscow every winter (and in old pre-Republican Beijing).