Cold resistance is fairly easy to obtain through eating corpses. White dragons provide cold resistance, as do most "cold" monsters, like blue jellies and winter wolves. The Valkyrie starts out with intrinsic cold resistance, being from the frigid Northlands. Monks get Cold Resistance at XL 13.
Gaining cold resistance from eating a monster corpse produces the message "'You feel full of hot air'"
Different monsters have the ability to confer this instrinsic upon eating. The full list is below. The percent chance refers to the chance of gaining this instrinsic upon completely eating the corpse. Nutrition values with a 'V' are suitable for vegetarians and those marked with a '!' are suitable for vegans. See eat.c#line640 and monst.c for further information.
|blue jelly||20 V!||~13%|
|brown mold||30 V!||~3%|
|brown pudding||250 V||~11%|
|gelatinous cube||150 V!||10%|
|gray ooze||250 V||~7%|
|winter wolf cub||200||~33%|
- Eating Corpses For Food And Intrinsics - Data for this table came from this link. (linked page gone as of Oct. 3 2010)