Lots of pain in the beginning
The process of freezing to death is usually very painful initially as the nerves can still feel the cold and report the pain to the body.
Numbness after nerves die
As the skin dries and the nerves lose their ability to communicate pain, a person will stop feeling pain due to the very cold temperature.
You feel sleepy
Some people who experienced a near-death experience in a cold environment reported feeling very sleepy.
Loss of co-ordination
As the muscles cool down, they become stiffer, making it hard for a person to maintain balance and coordination. (See What happens to the body in cold weather?)
Many people act irrationally while freezing to death. Some people get naked while others try to get inside small holes to seek shelter. The motives behind those actions are still not completely understood.
Very slow metabolic rate
The body slows down its metabolic rate greatly, and this is why some people experience calmness during such a situation.
Visual and auditory hallucinations
The slow metabolic rate, in addition to the low amount of oxygen going to the brain, can sometimes trigger visual and auditory hallucinations. (See What does it feel like to drown?)
As muscles that previously tried to limit blood flow to extremities fail, the blood rushes back to the extremities. Thus a person feels hot. Scientists concluded that this is the reason some people take off their clothes before dying in cold weather.
As the body cools down below a certain temperature, unconsciousness usually happens, and the person appears to be dead even though he is still alive.
Cardiac arrest could happen
As a result of the failure of internal organs, a person can experience a cardiac arrest that leads to his death.