Define extreme cold.
In the place I live, extreme cold is 0C +wind chill.
Extreme heat is 30C + 100% humidity
I prefer cold, because extra layers can combat it effectively, and it is actually quite fun to be in at times.
Extreme heat here is always with 90+% humidity, it's torture.
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It's about the same for me actually :P Except it's not often that humid, it's more of a dry heat.