According to the Wall Street Journal, your body already has a mechanism to keep you warm when cold; shivering. By sipping something warm, you're fighting nature.
Caffeinated drinks like coffee will actually cause you to become colder. They're a diuretic, which removes heat retaining water from your body through urination.
And avoid alcohol. While you may think it warms you up, it doesn't and could bring about more severe problems while out in the cold, like hypothermia.
Did you know that? Do you usually try coffee to warm you up?