For me it depends. If you have to do intense physical activity outside then -20 is certainly preferable to +35. But if it's overall living in a certain climate then I personally prefer the heat. Having fewer clothes on, taking a cool shower a few times a day, drinking a lot of water and having a fan on 24/7 when indoors is by far easier and more enjoyable to me than having to wear a few layers of clothes, feeling the chill get into your bones and spending massive amount of money on heating costs.
That said winter has its charm too. The crisp smell of fresh cool air. The snow. Christmas. Cuddling in bed