To keep themselves busy, my kids have devised an interesting game. It's the "blow bubbles, watch them freeze, and pop" game.
Here's how it works: You go outside in sub-freezing temperatures with a bubble wand and bubble solution. You blow a bubble and let it sit on the wand. Ice crystals form, hardening the bubble. And then the bubble pops. Loudly!
My kids amused themselves for at least an hour doing this.
If you ever find yourself bored in an Arctic blast, you may want to give it a try. Here's what it looks like: