What do you think of training in "extreme conditions"?

I have "own gym" at garage here in Finland, we get some cold days in winter since we are here in NORTH

anyways, I thought.. if you train at like.. +-0 to -5 celsius weather, when the temperature at garage is around +-0 and -2, would it give good fat burning ? I`ve heard some ppl perform bench like really extreme conditions, up to -8 celsius or so, makes heart beat faster.. Dunno

It might be lethal to lift at too cold, but if you wear warm clothes and have a nice warm shower afterwards, it could work..