Yes, I have walked through blizzards surprisingly often. In addition to being a macho bragging point, it's also relatively safe if you plan properly ahead. Here is what I do to make my walks about as safe as possible...
Oh, and I don't mention it in the episode, but the most afraid I was on a walk was when it was 17 below out and I was walking across a bridge (it's always colder on that bridge, so the real temperature may have been -20 or colder!).