This is all somewhat misleading. Compared to out east, -12C is not as bad due to the very low humidity levels. Most years, there isn't much snow in Calgary (lat 2-3 years have been an exception). WInd does blow hard a lot of the time though. Other thing that is different (I was born in Toronto, moved to Montreal at age 2 to 34) is the sun's intensity. It is noticeable, and leads to odd things like snow and ice melting at -10C on a clear day (with low or no wind). THe famous Chinooks are another factor; while the temperarure can rise rapidly (-8 one day, +12 the next), a lot of people (like me) who move here later in life end up suffering Chinook headaches. This is due to the the very sudden, and extreme drop in air pressure when the Chinooks come through. THe air pressure in your head is then above the air pressue outside, making for one doozy of a headache to the extent that in one instance, I couldn't stand up. The effect does diminish the longer you live here, though.
Kostas