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So you are sucking a lot of cold dry air into your throat and lungs which drys out the natural mucuses that exists there, and causes temporary inflammation and pain. This results in that burning sensation you feel in your throat/chest/lungs, which may or may not be accompanied by wheezing and coughing. It can be quite painful and quite distressing, but usually, it should subside within, hmm, about 15-20 mins after you stop exercising.
Has any one ever experienced a slight burning sensation in their lungs or tightening of their chest when experiencing other allergy related symptoms? I had been experiencing the lightheadedness and sinus congestion that many of you have also mentioned, but occasionally my lungs and chest seem to be affected.