I moved to Sweden in January 1995 to spend a year as a student studying the origins of the Scandinavian languages and the earliest evidence in inscriptions. I ended up loving it, and I would say it was a mind-expanding year. My department was kind enough to commit to speaking nothing but Swedish to me for the time I was there, and that made a huge difference. It was intimidating and sometimes I said things that were unintentionally funny, like referring to uncooked marshmallows as "raw." In Swedish the word "raw" only refers to meat that is still bloody. I had an unrequited crush, and someone else had an unrequited crush on me. I spent a lot of time feeling completely uprooted from anything familiar, which, along with the winter darkness created a sort of dreamlike quality.
As others have found, it wasn't the cold that bothered me. It was the lack of light. It's something that affected me on a profound, primal level that is hard to explain to someone who hasn't experienced it.. I have lived in cold weather areas most of my life, but Sweden was the first and only place I have experienced 'vinterljuset.'
It was rather poetic in a way, as though I were living under the surface of a lake and could almost hear friendly voices and see the sun far up above, but couldn't reach them. It's like living under an inverted bowl made of blue glass.
At first it was deeply unsettling, then an odd mixture of depressing and profound, as though all of my most melancholy and philosophical thoughts had coalesced in the landscape and followed me wherever I went, begging me to go deeper into them. .
It reminded me of that strange feeling I would get as a small child on those rare and accidental occasions that I was up and about at night time. I was always put to bed by dark, so the outside world at night was a mysterious, impossible place. For instance once when I was six I had bronchitis and I woke up in the middle of the night unable to breathe. My father raced me to the emergency room, and what I remember more than anything is my amazement that the outside world still existed at night, and there were actual people in it! That's how I felt in Sweden in winter when it looked like dusk at midday.
And it was paralleled by my experience of speaking Swedish all the time, and feeling like the thoughts I wanted to express could never quite make it to the surface in the form of Swedish words.