One of the people on DV-L posted a question about what to do when shooting in the very cold. These are my notes based on my experience in Minnesota and Hokkaido, Japan:
There are two issues involved: cold temperature and condensation. Cameras can handle the cold fairly well as long as they get sufficient battery power, what they can't handle is condensation which will get on the lens, muck up the tape heads, film, or media.
In Minnesota, I found that acclimating the camera to the external temperature was better than trying to keep it warm. If I stuck the camera inside my jacket, it would get condensation from the moisture near my body.
As long as you have the camera on and running, the internal electronics will keep it warm. I'd use an extra large size battery because the capacity will go down when it's cold. Also, keep the spare battery near your body where it's warm -- the high humidity won't bother it as much as the camera lens.
Before you go inside after being outside for while, stick your camera in a ziplock bag or even a plain plastic bag. Tie it shut. And then bring the camera in. That will prevent condensation from building on the camera because of the temperature differential.
If you're really worried, you can get an underwater case for your camera and use that -- it'll protect against bumps, shocks, and humidity changes. But remember to always acclimate the camera to the current temperature before opening the case -- or you'll be back to square one!