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Coming out of the pool the other day, I felt very cold because I was wet and the wind picked up. My idea is that a "cold" feeling should be associated with low temperatures, but it's indeed wrong.
Why do we perceive wind at a farely normal temperature as cold?
One important point that you might not be considering is the heat of vaporization.
You may be aware that while it normally takes 4.18 J (1 calorie) of heat to raise 1 gram of water 1 °C, it takes around 2250 J of heat to raise 1 g of water from liquid at 99.5 °C to gas at 100.5 °C, due to the energy needed to go from a liquid to a gas. - What you may not know is that the enthalpy of vaporization isn't limited to vaporization at the boiling point. Any conversion of water to water vapor requires heat of vaporization, though exactly how much is temperature dependant.
So when water evaporates, it cools things much more than one might expect from the "average" energy (or even statistically above average energy) a water molecule may have in the liquid state - several hundred times more. All this is driven by the entropic benefits of having water molecules in the gaseous state rather than the liquid state.
Wind makes the process more efficient because it removes the water-vapor laden air, unbalancing the equilibrium of the process in favor of further evaporation. More water makes it more efficient (to a point), because there's more water to evaporate and the rate of evaporation increases, increasing the removal of heat.
This is not just a physiological perception effect - one can actually measure the temperature drop when water evaporates. Evaporative coolers make use of this effect, and traditional wet-bulb hygrometers (psychrometers) use exactly this effect to measure the humidity -- in some cases you can get a temperature differential of 20 °C or more between a dry bulb thermometer and a wet bulb thermometer.
There is a small perceptual effect in that the evaporative cooling is happening on your skin, where a large number of temperature receptors are located. Therefore, your skin (and temperature receptors) feel a cooling effect even if your core temperature doesn't change detectably. Local cooling produces a larger temperature change than might be expected if you calculated for a whole-body heat change.
This phenomena has nothing to do with any different kinds of receptors. When we are wet, we have lots of water on our surface. The evaporation of water causes cooling.
Blowing wind tends to make evaporation faster. So, even if wind blows at normal temperature, we feel cold. If we are not wet, there is some water on our body surface. This water is low in quantity as compared to when we are wet. So, we feel less cooling this time.
Also, water has high specific heat i.e. it doesen't change temperature very easily. So,even on a warm day, we don't feel the heat if we are soaked.
As other answers and comments have stated the reason that you feel cooler when the wind is blowing (wind chill factor often gets talked about on the news) is because evaporation is speed up by the wind. The reason that this evaporation causes cooling (explained in more detail here) is because when water evaporates, that water takes its energy with it. That energy loss to you is in the form of heat, thus making you feel colder.
However, there is a little bit more to it than that. If you look on How stuff works - windchill factor they go onto to talk about how the process of convection is what makes you feel cooler. What's happening is you're actually warming the air around your body up, and as the wind blows it's wisking that nice warm air away from your body replacing it with much colder air. The faster the wind blows, the faster your warm air is taken away from your body. When the wind blows fast the molecules around you move away from you faster so you have less time to heat them.
How Stuff Works says this about convection:
Convection - Convection is a property of liquids and gases. It occurs because when a liquid or gas gets hot, it tends to rise above the rest of the body of liquid or gas. So, if you have a hot bowl of soup on the table, it heats a layer of air surrounding the bowl. That layer then rises because it is hotter than the surrounding air. Cold air fills in the space left by the rising hot air. This new cold air then heats up and rises, and the cycle repeats. It is possible to speed up convection -- that is why you blow on hot soup to cool it down. If it weren't for convection your soup would stay hot a lot longer, because it turns out that air is a pretty poor heat conductor.
So while evaporation plays a minor roll, it's most likely because you're no longer able to heat up the air around you as efficiently when the wind blows all that nice warm air away.
