I've head that 0 degree F air is 50 degrees by the time it exits your mouth, so no fear of frozen lungs for me. Cold carries with it some risks, however. If you're out in the woods on your mountain bike and fall and knock yourself unconscous you're at much greater risk in the cold. First off, there are fewer people out in the woods to find you and render aid, second there's an exposure risk that isn't as severe in good, warm weather. But as long as you're smart about it then cold exercise is perfectly safe.