Frozen twig (a component of the "twig and giggle berries" collection). For really cold rides (-20C/-4F or colder, especially if there is a wind chill on top of that), I'll stuff a "sheet" of bubble wrap down the inside of my tights (over top of my undies or bike shorts, whatever I'm wearing) covering my groin area. You know the feeling when your fingers or toes get really, really cold and then you go into a warm room/house and the burning feeling that goes through them as they warm up, imagine that feeling through your twig, really painful (believe me, it's happened a couple of times before I figured this trick out). The problem is, whether there is a headwind or not, cold wind is directed down your coat, to your groin area and up off the top of your legs to your groin area and is trapped there. Even though I've worn a warm, snowboard-like coat which tend to be rather long (especially mine which is now too large since I've lost a bit of weight), the long coat is not sufficient: the bubble wrap is so good that I'll even get a bit sweaty in the groin area despite with cold thighs (tolerably cold, not severely cold).