Things to know-
1.If it has shea butter, it's got mega moisture, many of those listed below fall into this category.
2. The more thick, and viscous a balm, the more barrier protection from wind it will give you. Ones like the Clinique listed below as well as old standy Aquaphor which now comes in a handy lip treatment tube fit this type.
That said, here is my list of personal favorites that work in freezing cold. There are plenty other balms I love and use in milder, say 40-50 degree weather. But for the coldest times, these get highest marks. Links will go to my original review if there was one.
Philosophy Kiss me Tonight- Also should be called The Lifesaver or maybe LipSaver. This is meant as an overnight treatment, but can be used daytime as well, it just doesn't lend itself to being used under lipcolor. It's a thick, jelly balm which makes a coating on lips. Its stays there long and is super healing and softening with shea and mango butters One of the few products I keep a backup of.
Shu Uemuea Depsea Hydrability- Almost oily in texture at times this one covers the lips with a heavy gel/balm and keeps out the wind and softens the lips. Ultra hydrating, no tint, no scent. Contains depsea water as well as hyaluronic acid and macadamia oil. Available only online in US at http://www.http//www.shuuemura-usa.com
Clarins Colour Quench Balm - The balm you want if you want major moisture , gloss and color in one. These pack more pigment than most balms and come in a huge color selection from light to bright. They also have shea butter, vitamin E and a nice fruity scent. You'll see my original post dates to 2007, these have been a staple for a longtime.
Bobbi Brown Creamy Lipcolor- Lipstick with shea butter. When you want lipstick but you need help with chapped lips, look here. These have nice pigment, are a lipstick tube but pack much more moisture than most lipsticks. I use my nude shade, Bronzed Pink, all winter every year. It's what I usually reach for when I want lipstick not balm.
L'Occitane Pure Shea Butter- The small tin of pure shea butter is just what lips need . Apply right on for healing and moisture . The real deal , simple and basic but nothing works like pure shea.
Clinique Super Balm Moisturizing Gloss- As the name says it's a glossy balm. It's also thick enough to stand up to wind and cold. The colors are sheer and the formula has aloe vera and vitamin E.