The Cold Ones are a fictional race created by Chaosium in 1994 for the Call of Cthulhu RPG, whom were based on Clark Ashton Smith's The Light from the Pole.
Cold Ones are a race of semi-corporeal beings serving the Great Old Ones Rlim Shaikorth and Aphoom-Zhah. Who appear as wailing humanoid spectres of swirling snow and vapor. They are only semi-immaterial and therefore are unable to pass through solid matter, but can seep through the thinnest opening or tiniest crack. It's a race which is only active in bitterly cold areas, where they appear and disappear into drifts of snow and ice or snowy skies as if they were ghosts.