If you want to be warm in a large cold room, turning up the heat is really not a very efficient way to get warm. You could put on another coat, or as the people at MIT have recently done, do something a little more interesting. "Local Warming" is the new thing where a beam of heat and light is directed at you and follows you as you walk around a room. Think of this like a turrent in Portal - except without the bullets.
MIT’s system is rigged to the ceiling, like highly-efficient track lighting. Using a WiFi-enabled tracking system, the lights can sense when a human is present and will beam infrared heat down like a spotlight. “It’s almost like having a your personal sun,” says Carlo Ratti, a professor in the Senseable City Lab.