When I was in prison, I always went outside in the snow and sub-zero weather wearing only my T-shirt and no jacket. Whenever anyone said anything to me about it, I always told them that "I'm a real gangster. Real gangsters don't need jackets."
At Terre Haute FCI, I kept my windows open with no heat on during winter. I've always been quite fond of the cold, which is pretty ironic considering that I'm from Florida.