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The lead of single of Breaking Benjamin's 2nd studio album, We Are Not Alone. There are 2 Music Videos for So Cold, one is based in a swamp, the other is a promotional video for Hellboy, in which the song was featured.

1st Music Video:
The music video of So Cold shows a preacher standing at the edge of a swamp. The story takes place in the 1800s, judging by the style of clothing. The scene then shifts to a group of people walking in a forest. One man can be seen carrying a large stone with the Breaking Benjamin Celtic knot on it. He is shackled to it throughout the video and struggles carrying the stone. Towards the end of the music video the group of people arrive at the swamp where the preacher is. Then the man carrying the stone walks into the swamp and drowns. This is the story of a man, who cheated on his wife. He was caught, and put to death. the woman in the black robe is his wife and the woman in the white robe is the woman he cheated with.

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