In addition to keeping active, people wore thick layers of woolen clothing and often slept in them along with flannel night shirts and caps on the coldest nights. Most people, including the wealthy, went to bed in unheated bed chambers.
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Castles weren't always cold and dark places to live.But, in reality, the great hall of castle had a large open hearth to provide heat and light (at least until the late 12th century) and later it had wall fireplace. The hall would also have had tapestries which would have insulated the room against too much cold.