Frostbite is not funny. At extremely low temperatures, human skin can suffer tissue damage, which in mild cases leads to temporary pain and numbness but in more severe cases leads to tissue death.
It happens most often to the ears and nose, the areas least likely to be covered. And that is precisely where cats get frost-bitten: the areas with the least hair, their ears, nose and paw pads. (For some odd reason the tip of the tail seems vulnerable also.) An obvious bit of advice to pet owners in cold areas: don’t let the cat outside if it is extremely cold.