I went to Iceland in February and we went to Gulfoss (the Golden Waterfall). It wasn't that cold, maybe -5 deg c, but with the winds (probably gusting at 100km/h) and the frozen rain it was the single most unpleasant place I've ever been. Coupled with all that was the fact we were trying to look at a waterfall which had rain and ice whipping off it directly into our faces.

It did, however, stop raining that night and we spent about an hour watching the northern lights out in the fresh snow which was magic.