I can tell you from experience that exposure is very painful, and death takes a long time... far too long to bear voluntarily, in almost all cases. You can look up the stages of hypothermia on Wikipedia, if you want, but if you've ever been outside during a cold winter, you have an idea what exposure is like. Death by exposure (to cold air) is simply death by hypothermia, and heat loss to air is much slower than anything else common, like the ground or water, so this is not a good idea. You're much more likely to get frost bite, lose some fingers or toes, even permanently damage nerves or circulation in your extremities than you are to die.
IME, it's just a long, painful way to an ER visit.