Chill of Undeath

—Karthus the Lich, League of Legends.

Vampires in fiction are almost always colder than they were before they turned. This most likely originates from the fact that vampires are essentially living corpses, or it may be due to evil being cold. Of course, having Friendly Neighborhood Vampires in the setting would probably mess with that analogy.

Another problem with this trope is that there's no reason a dead (or undead in this case) thing would be abnormally cold. When someone says a dead body is "cold," they really mean "colder than I know a human body should be." Without some extra bit of magic, dead (or undead) things should be room temperature at best. Sometimes they even heat up to higher than room temperature because of the energy released in the breakdown of the body during decomposition.

Please note that vampires aren't the only undead with Cold Blood, they're just the most commonly used examples. Any undead creature with an abnormally cold temperature counts as well.

Contrast My Blood Runs Hot. See it's Sub-Trope, Ghostly Chill, for when a ghost drops the temperature around them. See also Undeathly Pallor. Often a form of Glamour Failure.

Examples of Chill of Undeath include:

Anime and Manga

In JoJo's Bizarre Adventure, the vampire Dio Brando can freeze a person's blood with a touch.

Comics

In The DCU, supervillain Kobra killed his brother Jason's girlfriend, then resurrected her as a zombie and sent her to kill him. Jason's last words were as he embraced her, remarking that her skin was as cold as ice. This sentence trailed off as realization dawned on him just before the zombie stabbed him in the back and threw him from the cable car.

Film

In John Carpenter's Vampires, Los Muertos actually shows the vampires body as being blue through a heat sensing goggles-type thing. (It looks like a really short telescope).

Literature

Invoked in The Sookie Stackhouse Mysteries (and by extension, True Blood). At one point in the books, Sookie becomes intimate with a non-vampire for the first time and notes how strange it is to have sex with a warm body.
Twilight vampires are physically cold and "marble-like". The werewolves, by contrast, have a higher-than-average body temperature.
In New Amsterdam by Elizabeth Bear (the book, not the TV show), Sebastian, resident Spanish wampyr detective, is cold and doesn't have free-flowing blood in his body.
Inverted with the "vampires" of I Am Legend, who are humans with a disease that (among other things) sends the body into overdrive. They run a fever of about 103 Fahrenheit as a baseline.
The A Song of Ice and Fire books have The Others, undead and cold, to the point where the ambient temperature drops when they're around.
- Also, the wights, the reanimated corpses of the Others' victims are also ice-cold to the touch, though they don't drop the ambient temperature.
American Gods teaches us that while the undead may not be colder than room temperature, they feel so cold that experiencing any other sensation at all becomes a problem.

Live Action TV

In Buffy the Vampire Slayer, The Initiative discovered that a vampire (specifically Spike) was in Willow's dorm room because their Infrared X-Ray Camera read him as only slightly above room temperature.
Ghosts in Supernatural cause the temperature to drop.

Tabletop Games

Liches, undead spell casters in Dungeons & Dragons , have a touch that can inflict cold-based damage.

Video Games

In Vampire Bloodlines, this is how your character is identified as a vampire: you don't show up on the heat scanners.
- Also a feature of Vampires in the tabletop game, Vampire: The Masquerade actually warns players that they should keep this in mind while human hunters are around, especially in cold weather, as it will give them away. Additionally the game has the Naga, weresnakes that can alter their physiology to go cold blooded, and grow their snake fangs, allowing them to pass for Vampires in some circumstances.