Exactly - when the weather report says "its dangerous to go outside" and "exposed skin will freeze in less than 1 minute", there's no amount of clothes that'll save you.
That Scandinavian quip has become a popular soundbite but they have a fairly stable climate, with only extremes of temperature and snowfall as a consideration in the most northerly regions. Their winds don't reach hurricane-force on land, which is fortunate as no clothes can help in that event.
For the most populated regions their climate is maritime mild-temperate ( to the west ) and continental ( east / south ) due to the Gulfstream. Certianly more mild than other regions at the same latitudes.
I wouldn't take their weather advice if I was going to Siberia, for example: average winter temperature in some areas there is -50 Celsius, which freeze your glasses to your face.
This is entirely true; however, most "bad" weather that keeps people indoors can be made very comfortable with an investment in a few pieces of appropriate clothing and a willingness to learn how to dress and stay dry in winter weather (which, I suppose, I'm defining as weather typical of northern US/southern Canada - not the Arctic).
Obviously there is extreme weather, but bad weather is wind,rain,snow,hail etc. Extreme weather is 3+ foot snow drifts, -25c daytome temp, 40+ mph wind, cyclones etc.
