I went there on business a couple of years ago for 2 weeks in January and it was COLD, colder than I have ever been in England.
It was minus 15 for a time and if you did not wear a hat then your head and ears just froze.
There is a whole network of underground walkways in the centre of Toronto, and you can walk between city blocks, between subway stations, and into office blocks and shops without going ouitside.
It is a massive underground world, but high quality. It is not like graffiti covered tunnels in England but marble floors and well lit with bars and cafes and shops as you walk around.
Mind you, if you then have to go outside, POW, it hits you.
Lake Ontario was frozen over when I was there.
And nobody washes their cars because the water would freeze and you would not be able to open and close the car doors so they all drive round with dirty cars.
So avoid going when then weather is that bad.