Last year, when my teenager and his frostnipped privates nearly ended up in the hospital following a XC ski race in -10F (when he thawed out it was painful beyond description), I created a fleece-lined, wind-resistant (and dare I say stylish) solution that is also perfect for cold weather cyclists: http://www.PolarJock.com
I've never had a problem with cold genitals while cycling, even well below 0F. Cold toes, fingers, and nose, sure; but Lil' GriddleCakes seems to hold his own on the bike.
XC skiing, on the other hand, is a serious penis punisher. I've got a couple of pairs of these wind-proof undies, which, when combined with wind-proof pants (and long underwear, if it's cold enough) work great. I'd personally feel weird about donning a jock strap to ski, probably because the only time I've ever worn one was after my vasectomy (to hold the ice-pack to the affected area). But if you want to reduce your layering to an absolute minimum, and still keep a cozy penis, then I suppose a wind-proof jock-strap might be what you're looking for.