I'm tall and slender, and I absolutely hate the cold. I am a cold weather wimp if there ever was one.
I think tall, slender people are probably more prone to feeling the cold, but I also think it has a lot to do with metabolism and just plain what you're used to.
I ran outside yesterday. It was about 40 degrees with the wind blowing, so there was a wind chill. I was miserable. My friend who ran with me is taller than I am, and while she's slender, she is heavier than I am. She was perfectly fine. My ears ache (even with cotton in them), my nose runs, my eyes water, my toes ache and my fingers go numb. My core is always nice and toasty, but my extremities don't fare so well. I can run in 100 degree weather, sweat like crazy, and I'm in my element. Maybe I should move to south Florida!