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Here’s a chilly Jon Snow, taking the winch cage up the wall. The lighting here certainly gives a sense of the cold, as does the frost on the wooden structure in the immediate foreground. This is actually part of an actual, working quarry elevator dressed up to look like a winch cage. The quarry wall in this area has been touched up with whitewash or white paint, which seems to be quite an effective approach to getting the icy structure of the Wall across on screen.