I follow a lot of livestock groups on facebook and no matter the animal, the topic of animals in winter comes up a lot this time of year. The most helpful information I have found in making decisions here on the farm is the lower critical temperature (LCT) of an animal. This is the temperature at which an animal needs additional care including shelter and/or extra feed. That means above these temps (up to their higher limit of comfortable when they need help cooling down) the animals are fine with NORMAL care, and at or below these temps they need either shelter AND/OR some extra food. This does not mean they need a heat lamp, blankets, or other measures.
Here is some common farm animal average LCTs:
Dairy Cow: -22F
Of course these temps are assuming a dry coat and a place to get out of the wind. Even wild animals hunker down out of the wind as much as possible as they feel the wind chill just like we do. A wet animal, especially in the wind, can die of hypothermia when it's as warm as 65F out with a heavy wind and rain. So definitely take that into consideration when planning your winter care.
Let's start with chickens because they seem to be the animals I see the most questions about and hear the most horror stories about heat lamp fires. Assuming your chickens have a wind block and a covered run to keep them dry, they can go below freezing before they even need a coop! With a nice dry coop and lots of available food they can go much lower. There is no need to heat a coop unless you have young birds that don't have all their feathers. I do nothing special for my birds. I keep their food and heated water full and their coop dry. That's it. Whenever I get the inkling of worrying about them I remember this picture I took when it was cold and snowy out. The song birds were enjoying the feed in the feeder and hanging out on that tree behind it.
The low temperature of goats surprised me, but after some research I found that this number isn't well documented. Some say it is as low as 0F which seems more likely to me considering it is 0 deg outside right now, a light snow, and 3 out of the 6 goats are walking around outside. The pic isn't the greatest since it's from our security camera, but that's 3 goats, a cat, and a dog outside in weather alternating between -2 and 0.
I do notice that the goats get snow packed in their hooves if they aren't perfectly trimmed and this bothers them. They have a 12x12 stall with a 12x36 covered area outside of it that is protected from the north and west winds, where they can get to dry ground with lots of straw/shavings/hay and out of the wind/snow. They have a heater in their water to keep it from freezing and 2 feeders full of hay at all times. They grow really nice furry coats for the winter and don't seem to be bothered by the cold at all. If we have very young kids during a cold spell we add a barrel with heat lamp secured to it to provide them some heat that the big goats can't get to.
I can really believe the cows can go that low because our's stand out in the snow and get a thick layer of snow on them and don't seem to care. Our black cow looked completely white one day. Only black visible was his eyes. He didn't seem to mind at all.
The horses and cows both get extra hay inside a 12x12 stall that they have access to. This year we also pulled our trailers in front of the stall door to block some wind since it opens to the north. This has helped cut down on the snow blowing into the stall quite a bit. We have one old mare that doesn't get a good winter coat so she gets a blanket if it is going to be wet at all. It's just a light blanket to keep her dry. If we don't do this she spends way too many of her calories trying to keep warm and loses body condition fast. They also have heated water.
The guardian dogs love the snow. They seek shelter when it gets really bad but their coats do a great job of keeping the moisture from reaching their skin. They have been covered in ice before and you can reach below and feel nice dry and warm skin. Usually though you find them tucked away in the dry areas under the goat shelter (as see on the right side of the above picture).
The barn cats have a heated water dish in the feed room and a cat tower that has the enclosed area. They snuggle up in there if it gets too cold, but as you can see in the pic, they don't have a problem coming out as long as the wind isn't blowing too hard. The cat pictured only sat there for a second before going over to a dog and curling up by them. They know where to find the heat!
Summary... a dry place out of the wind/snow is really all most animals need in addition to feed and water. Exceptions sometimes need to be made, like our old mare, but in general they are MUCH hardier than us wimpy humans!