I have, for the first time in my life, gone ice skating in St. Paul downtown during Christmas break. That's one of the advantages living in places with severe winters. We had to pay only $2 per person for renting the ice skates, and the entry was free of cost. Definitely a very cheap deal!
Being a beginner I was quite apprehensive initially, but it turned out to be a wonderful experience. We spent more than 2 hours trying to learn and we were only left with a feeling to go back again soon after the entire session. The best sight I have come across was little kids of 3 - 5 years skating effortlessly, a visual treat to watch them skate.
A few things I have learned are
Regardless of the temperatures outside and your skill level, it is a good idea to don your winter gear properly since you will be exposed to cold for quite sometime skating on the ice rink outdoors. When I say proper winter gear, wear all your layers - winter hat to woolen socks, scarf to gloves and jeans to winter jacket.
You really don't need to feel awkward that you don't know how to skate when you do it for the first time. You would see a lot of people falling down on the rink in an attempt to skate, and you will fall down as well. That adds to the fun part of the experience.
Be it a group of friends you go along with, your significant other or your family, ice-skating also proved to be a social experience. You would get a feeling that you have spent quality time with your group.
And, hell yeah, it's a great source of exercise. You would sweat a lot even though you skate outdoors in the freezing temperatures for hours.
Trying hitting the nearest ice-skating rink and there is a good chance you would like the experience.