It dulls the senses and temporarily increases blood flow around a lot of your skin where temperature is monitored, which makes you feel warmer. So it could make a bad situation seem better than it is, could also lead to hypothermia because you've tricked your brain into thinking it's warmer than it actually is.

Also, alcohol typically has a misconception of improving sleep. In some situations, maybe, but it tends to give you a lighter sleep and leaving less refreshed if you consume a lot.