it's cold out there
[8thgradescience]Actually, in the vacuum of space (And if you are located near a star) chances are, you're going to be hot.
If you were to say, be on the moon; You'd be sweating instead of shivering. So you know those space suits that astronauts use? Yeah, it's to prevent them from heating up.[/8thgradescience]
EDIT:
Also, the reason why you aren't dead from overheating here on Earth, is because our ozone is filtering those harmful rays from the sun. Out in space, you're in direct contact with them.