Tip No. 1 - Get behind a bus.
Not only do they shelter you from the wind and have a nice drag effect but their engines are located in the rear, and those engines are toasty warm. While waiting at intersections bus drivers are required to stop the engine to reduce emissions, so you're not bathing in exhaust fumes, but be careful of the toxic plume that may engulf you once the light turns green.
Tip No. 2 - When its time to stop, stop beside a subway vent.
Red light ahead? No buses around? Subway vent on the sidewalk nearby? Don't creep through traffic to the intersection, huddle up to the subway vent instead, those baby's pump out warm air in the winter and cool air in the summer. By the time the light turns green you'll be toasty warm, or at the very least thawed out enough to reach the next vent.