A trip to the cinema is an excellent way to pass a winter evening, but it does come with one potential drawback. After braving the winter chill for a brisk speed-walk from your parking spot to the entrance (and avoiding slipping on black ice along the way), the theater’s climate control and comfortable seats can make you temporarily forget how cold it is outside. Thordur Palsson’s directorial debut “The Damned” looks to rectify this problem, as the Icelandic horror film is singularly focused on making its viewers feel the frigid cold that permeates the bones of its characters. From icy landscape shots to midnight huddles between characters that do a middling job of preserving body warmth, Palsson immerses his audience to the point where you can almost feel the mind-numbing cold that pushes his subjects to the brink of madness.

If that strikes you as a remotely pleasant...