Do vampires feel the cold? Surely not, they are cold-blooded aren’t they and… Well, it seems that Jossy vamps have some slightly special characteristics as regards this.
First off, they are definitely cold-blooded (The Initiative); however, let us be clear as to what that means: cold blooded means that they do not generate their own heat but take it from their surroundings. When Spike was being hunted by the Initiative he registered on their heat detecting equipment as ‘room temperature’, but room temperature can be anything, so vampires needn’t always feel cold to the touch. Perhaps, too, this answers the puzzler of why creatures which can’t stand sunlight would be found in such a sunny place as California. A sunny climate means warm air, even at night, and I don't think anyone has ever suggested vampires like to feel cold.
There is another consideration though. In that scene, Spike hadn’t fed for some time and it does appear that feeding affects vampire temperature. Spike once said, ‘Blood is what makes you warm’ (The Gift). This makes sense: put warm blood in a cold blooded creature and its body temperature would rise. Darla also said to the Master, when she first introduced Angelus, that they had, ‘fed very recently. The blood is still hot in his veins’ (Darla). This was apparently some sort of justification for his obnoxious behaviour, as in the old belief in being ‘hot blooded’, which is related to the ancient concept of bodily health and behaviour deriving from the balance of the four humours.
Hence, then, if they haven’t been able to feed for a while vampires’ bodies would be colder than they like. And sure enough, when he was starving, Spike was clutching a blanket around himself, as if he was suffering from the cold (Pangs). The other instance of a vampire complaining of the cold was when Drusilla told Spike she was cold (School Hard). This could be put down to insane ramblings, but a few scenes later we discover that she has not been eating properly: starve a vamp, it seems, and they feel the nip in the air.
It is interesting that in both these cases the response was to add a layer of cloth. The blanket in one case, Spike draping his coat around Dru’s shoulders in the other. This is counter intuitive, since layers of clothing work by insulating a warm blooded creature from loosing the heat it is creating for itself. The only way to heat up a cold-blooded creature would be to add warmth from an external source by either heating the room or putting in the nice internal hot fluid they like for best. Insulation might help them keep the heat from their blood, but it wouldn’t make any difference when the vampire had been starved for as long as Spike had by Pangs. Maybe it was just habit on Spike’s part, but there is also the interesting question of why vampires have blankets on their beds, and on at least one occasion Angel was seen sleeping in some clothes (Somnambulist). Again, just habit? Or is something else going on? Maybe vampires aren’t quite as cold blooded as we have been led to believe…