Thick socks, or multiple layers of socks, are helpful providing your boots/shoes have enough room to accommodate them. If the feet are squeezed, this cuts down on blood flow and predisposes to discomfort and potential frostbite. "Keep 'em loose!"
All this talk about falling and slipping on ice and nobody's talking about studded tires? I've been commuting in Chicago winters for years and can't remember the last time I fell. Riding in snow and ice with studs is a whole different experience.