That is the question that Pete Hickey wanted to test scientifically when he conducted this experiment:

People have been saying, "A beard keeps you warmer."

Sure it sounds good, but has anybody ever really tested this theory? In the interest of science, I thought of cutting off my beard for a winter to determine if it would be colder without it. Thinking about it for a while, I realized that this was no good. Maybe it would be a warmer (colder) winter this year. Maybe I would forget how cold (warm) it was last year.

I needed a control! Another person was no good; their perception of cold may not agree with mine. I had only one choice. Shave half of my beard.

Here are his findings: Link - via Say No to Crack