Being young and dumb and wanting to prove myself one fine winters afternoon I walked into the woods with a knife, gun, axe and lighter, and wearing good cold weather gear.
Picked a nice spruce tree with a good snow load on top that went almost all the way to the ground. Big deadfall right next to it for firewood. I don't remember much of that night. Other than I survived, it was incredibly long. No dry place to sit. So I had a damp cold butt most of the night.
Couple of garbage bags would have improved my comfort a lot.
I also spent a night in my Dodge 76 pickup one night at -35 below. Did not want to leave the lake (was ice fishing) That one was actually pretty comfortable as I had a very good sleeping bag. I'd run the truck long enough to get warm, then tuck in and sleep until the cold woke me. So sleeping in roughly 2 hour shifts. Then start the truck and repeat.
I was lucky, if I'd had truck trouble I could have been a frozen corpsicle.
Slept in a tent in mid January on a trout ice fishing trip. Was actually 2 big tents, first one was put up, they piled cut grass 2-3 feet thick on all sides, top, then stretched the second tent over.
But the fire in the stove was never allowed to go out. Long as the stove was cranking it was comfy enough. But going outside to pee in the snow was no fun.