I've been told that creatures and dwarves can be frozen by the environment, it's just that glaciers in a world created with ordinary world-gen parameters won't be cold enough.
This. I've just genned up a quick pocket world with advanced parameters, setting the temperature range between -500 to -100, and embarked.
Upon arrival, I made a new military uniform containing nothing, set to replace clothing, entitled simply, "Naked". I then assigned all my starting seven to a squad, gave them that uniform, and then chuckled malevolently as they went and stood in the middle of this icy wasteland clad only in the beards Armok gave them.
(http://i.imgur.com/RD5hO.jpg)
Meanwhile, a slight issue with the wagon and its wooden barrels of delicious, necessary alcohol soon became apparent:
(http://i.imgur.com/M0yrE.jpg)
Hmm. If the !!SCIENCE!! doesn't pay off and they don't freeze to death, those are going to be some very irate dwarves. Oh...
(http://i.imgur.com/s3iVs.jpg)
Well, discovery number one: dogs definitely freeze to death. So, it turns out, do yaks, hens, cats and drakes.
(http://i.imgur.com/Vpcro.jpg)
But dwarves, at least so far, seem to be doing just fine and dandy (although they are all complaining about the draft - while standing naked on a glacier). Maybe they're immune to the cold.
(http://i.imgur.com/X5ORR.jpg)
Ah. Or maybe not.
(http://i.imgur.com/AoyML.jpg)
Okay, definitely not.
So, test result: yes, dwarves can freeze to death on a glacier, as can all other creatures that I embarked with. Also, alcohol can freeze, as can your wagon, leaving you with nothing but a snow-covered pick and some wonderfully useless crossbow bolts.
Oh, and freezing to death doesn't leave the corpses in a particularly neat state, either:
(http://i.imgur.com/672c5.jpg)