If you walk into a cave with a lava pool under a sheet of obsidian, you can burn up in a matter of seconds.
I haven't found a natural situation which does the same for freezing.

Some ideas:

• Standing on snow, packed snow, ice blocks has more rapid cooling effect.
• Having lava bucket or ice cube in your current active inventory slot has an effect. (Hand warmers!)
• Altitudes above the clouds are very cold (atop alps).
• Actively falling rain is a little cold. Snow is fairly cold.
• Furnaces should warm a room while burning fuel.