Your typical NASA EVA Suit is made from 11 layers of highly insulating material, but insulation from cold is not the point. They have to be insulated to protect you from intense solar radiation which is about twice as energetic in space as it is in the Earth's atmosphere. Because they are so well designed to prevent heat from getting in when faced with direct sunlight, they are equally good at preventing heat from getting out. They are so effective that even in the Earth's shadow where space in nearly absolute zero, they need to rely on internal cooling systems to keep your own body heat from cooking you over time.
In an atmosphere, cold feels colder and hot feels hotter as Mathadditcs answer explains, but you also have a lot more normalizing factors; so, where the orbital distance is the same, a person on a planet with an atmosphere will experience much less severe fluctuations in temperature than the one in a vacuum, especially on a planet that is not tidally locked to the sun. So, how hot or cold you feel would be more similar than the numbers suggest.
I can't find any details on the coldest atmospheric conditions a space suit can theoretically be used in, but Concordia station in Antarctica has been used as a terrestrial analogue site where EVA suits endure in atmosphere conditions of −82 to −48 °C. So, I can not tell you if a standard EVA suit would do well on a REALLY cold world, but it's probably better than just about any other cold weather gear you might conceivably have access to.