I may be in the minority here but I like the feeling of cold air rushing into my lungs. Especially that first deep breath. It does almost hurt though. I breathe in through my mouth and out through my nose for the simple reason that my balaclava covers my mouth and not my nose and thus I can somewhat prevent my glasses from fogging when I stop at lights. As someone mentioned earlier there are heat exchangers in some balaclavas. I was going to buy a NorthFace model but it was 70Cdn but I was pretty sure I wouldn't need it. The balaclava I did buy was a NorthFace (it fit my large noggin the best) and I love it. The coldest I have used it in is about -18C or 0F.
The biggest thing I would say is reduce your effort until your body is used to it.