Insects experience repeated cold exposure (RCE) on multiple time scales in natural environments, yet the majority of studies of the effects of cold on insects involve only a single exposure. Three broad groups of experimental designs have been employed to examine the effects of RCE on insect physiology and fitness, defined by the control treatments: 'RCE vs cold', which compares RCE with constant cold conditions; 'RCE vs warm', which compares RCE with constant warm conditions; and 'RCE vs matched cold' which compares RCE with a prolonged period of cold matched by time to the RCE condition. RCE are generally beneficial to immediate survival, and increase cold hardiness relative to insects receiving a single prolonged cold exposure. However, the effects of RCE depend on the study design, and RCE vs warm studies cannot differentiate between the effects of cold exposure in general vs RCE in particular. Recent studies of gene transcription, immune function, feeding and reproductive output show that the responses of insects to RCE are distinct from the responses to single cold exposures. We suggest that future research should attempt to elucidate the mechanistic link between physiological responses and fitness parameters. We also recommend that future RCE experiments match the time spent at the stressful low temperature in all experimental groups, include age controls where appropriate, incorporate a pilot study to determine time and intensity of exposure, and measure sub-lethal impacts on fitness.