I am a boy that was born in the desert and spent the most of his life in places like California, Arizona and now central Texas so I don't spend a lot of time in the cold. The coldest place I'd ever been until about five years ago was 19f. And that was just quick run from a warm car to a warm restaurant. After the 7f in Chicago w/o gloves I found I could warm up my hands by placing them in warm -- not hot --water. A year ago I was in Moscow Russia where it was -7f and foolishly went out without gloves and used the same trick.

Cold or lukewarm water is the best way (according to lore and parental guidance where I grew up; Scandinavia). Hot water is way too warm, and could seriously hurt you.

Also, violently throwing you arms around yourself (like you're hugging yourself -- not sure what this is called in English) will help getting the blood back in your hands and fingers, and get some warmth back in the limbs.

Underarms (against skin) works for me if warm water isn't handy. That's only if I'm at home, though.

Seconding cool water, which was what they taught us in Red Cross First Aid.

I have found that sticking freezing hands under a soon-to-be-ex's shirt has a quite pleasing effect.

The Vermont country store sells a warming cream.

cool water which you may turn to lukewarm if you feel like it, is the way to go, or "åkerbrasa" - the vigourous arm slapping that AwkwardPause describes.

Though Ardiril's suggestion is pretty dang good too.

I have found that sticking freezing hands under a soon-to-be-ex's shirt has a quite pleasing effect.

Huh. I actually enjoy when people do that.

I stick 'em in my armpits, or sit on them - or harass my husband to warm them up for me with his hands.