Control of heat transfer is important in wind power systems. In cold climate, the problems of icing and de-icing of the turbine blades need to be handled by efficient heat transfer technologies. Heat-generating components like electric generator, gear box, and frequency converters usually need cooling under operation by various cooling solutions such as air cooling, liquid cooling, and evaporative cooling. This paper reviews heat transfer problems in wind energy systems and presents some existing solutions to manage the thermal issues, and also discusses the challenges and new ideas on finding improved methods to control the heat transfer or cooling. Advanced liquid and evaporative cooling methods are suggested. Also, the need for improved ice sensors is discussed particularly for the ice accretion on the turbine blades.