iPhone app developers never cease to amaze me, re-inventing not only the software, but also the hardware itself, like the iPhone air blower app. Or Pocket Heat, which can turn your iPhone into a hand heater. Here's how it works:
Easy: The app puts your iPhone on overdrive, using 100% of its processing power. That, as you probably have noticed with some applications, makes the components overheat, which in turn can warm up your hands. There's another application like this, called iHandWarmer, but Pocket Heater wins because of its really beautiful retro design.
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Both apps will kill your battery pretty quickly, though, but I'd choose having a dead iPhone over having my finger fall of because of frostbite. [iTunes Apple Store via Krapps]