I live in a region with cold winters (ca. -40 C) and many quite small birds (sparrows, crows, ducks) stay for the winter.
How can the birds survive this?
As I understand it, smaller bodies will be less able to produce and retain heat. Despite this, birds seem to cope much better than humans, sitting in the cold all winter and even swimming in cold water. In comparison, humans lose mobility in their muscles when cold, and can suffer severe frostbite causing them to lose fingers, toes, or limbs from relatively short exposure to the same conditions.
What specific adaptations allow birds to cope so well in these conditions?
Answer
There are a variety of physiological, anatomical and behavioral adaptations that keep birds warm in winter.
For starters, birds are endothermic ("warm-blooded"), similar to mammals. You suggested that the coats humans wear are superior to feathers as insulation. Yet some of the finest coats and sleeping bags were long filled with feathers (e.g. goose down). Animals that live in cold regions tend to have smaller extremities. For example, you probably won't find many long-legged flamingos or ibises in the Arctic during the winter (though food supply is another reason they couldn't survive there).
As someone else suggested, water temperature is a relative constant, which means water (or better yet, snow) can actually insulate animals from colder temperatures.
Countercurrent heat exchange is a strategy that helps endothermic animals conserve heat. The page I linked to is part of a book titled Animal Adaptations to Cold, which includes a chapter titled "Avian [Bird] Adjustments to Cold."
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