This winter is a PIA for the wild temperature swings. But...not the coldest.
Coldest I can remember was 93-94 in Boston, in particularly January. Below zero for about a month with nasty snow and wind chills.
This year for Chicago must be close, though. I helped a colleague walk through setting up a block heater for his car - he's never had to do that before..
in terms of pure cold, hard to beat Finland and Sweden. I played hockey there for a bit, and I don't remember the exact temps, but you could drive a car on most ponds. The air literally felt blue in December.