Lots of character (flavor) is lost with many foods when they are very cold. Cooler whiskey goes down smooth, 0 C whiskey has lost most of it's flavor (especially if you're the kind of person who spends obscene amounts of money on small amounts of whiskey).

Room temperature on a cool day is what many will say is the 'right' temperature, but there is no right or wrong, despite what many questionable experts will tell you.