Heat is generated as a by product of activity (just like your car engine heats up when it's producing power). The more activity the more heat. But the body is designed to lose heat, even before sweating is needed. Just by breathing faster we take more cool air into our core and expel heat laden CO2. Moving rapidly adds a bit of wind chill (noticeable when running in hot, still conditions) and the large surfaces of the arms and legs move quicker still.
Heat is also generated by metabolising food and has a bearing on our core temperature. Eating hot or cold food adds or subtracts heat to our core. Drugs may also effect heat generation. This study shows that ephedrine-caffeine increased carbohydrate burning and metabolic temperature and it's long been known that alcohol decreases vasorestriction and feelings of cold (and increases susceptibility to hypothermia). Coffee increases circulation to the extremities. More on food here.
Body shape has a big impact on how we lose heat. The bigger your surface area compared to body weight, the quicker you cool, expressed here in Bergmann's and Allen's Rules. Stockier individuals have far greater survival times in water than thinner types.
Fat is an excellent insulator, used by most marine mammals, and carrying it around means that you burn more energy and generate more heat. Le Blanc demonstrated fat added a significant ability to resist cold.
Age and sex also have a bearing. Apart from the obvious differences between the sexes, studies show that older men typically appear to have a deteriorating ability to maintain their core temperature.
The human body can adapt to conditions over time. In his excellent book "Survival of the Fittest" Dr Mike Stroud (Sir Renaulph Fiennes' "partner in crime") comments on how the body can adapt to hot climates with a faster sweat response and how some fishermen have developed a tolerance to immersing their hands in icy water - conditions that would cause a surprising amount of pain for most of us (try it at home)! Some studies also suggest that fitness has a bearing on your ability to maintain core temperature.
Psychology also has an effect. Stress, for example, causes a sweat response which may run counter to staying warm. This article even suggests that extrovert personalities are less susceptible to the cold. Lawrence Irving recorded that his cold acclimatised subjects were very aware of sensations in their chilled extremities, hinting at a conscious link. Certainly your attitude to comfort can have a bearing, but beware Stoicism slipping into hypothermia.
You may also be interested in this link about the "Ice Man", who has apparently trained himself to cope with extreme cold without clothes! Is it April 1st?