A humorous alteration of many are called (but) few are chosen, the phrase many are cold, or called, (but) few are frozen has, in the course of time, been coined on separate occasions by various persons, independently from one another.
For example, in her column The Right Stuff, published in The Dispatch (Moline, Illinois) of Sunday 12th June 2005, Julie McDonald wrote the following about Ministry of Ice, a poem by “former Quad City Poet Laureate Dick Stahl”:
It tells the story of a Chilean priest who falls into a crevasse in Tierra del Fuego, remaining in his icy tomb for 50 years—until a glacier calves and resurrects him. It’s prefaced by a quote from Roald Tweet, “Many are called, but few are frozen.”
And the following is from “news briefs from the recent Allegheny Council meeting”, published in the Pittsburgh Post-Gazette (Pittsburgh, Pennsylvania) of Thursday 24th March 2011:
The ski season was especially challenging for patrol members, because they had to remove people from a malfunctioning lift three times during January. No one was injured during the minor breakdowns.
A total of 121 people were evacuated safely from lift during the incidents, ski patrol manager Pat Boccardi said. “Many were cold, but few were frozen,” he joked, paraphrasing a Bible quotation.
The phrase many are called (but) few are chosen refers to the gospel of Matthew, 20:1-16—known as The Parable of the Workers in the Vineyard:
(King James Version, 1611):
20:16 So the last shall be first, and the first last: for many bee called, but fewe chosen.
(The King James Version explains that, in the gospel of Matthew, 20:1-16, “Christ by the similitude of the labourers in the vineyard, sheweth that God is debtor vnto no man”.)
The earliest occurrence that I have found of the phrase many are cold (but) few are frozen is from the following (probably fictional) anecdote published in The Sioux City Daily Journal (Sioux City, Iowa) of Friday 18th September 1885—which was itself quoting the Indianapolis Herald:
Indianapolis Herald: “Did you attend church, my daughter?”
“How did you like the sermon?”
“Well, the minister stuck to his text, and I must say, delivered a very cheerful though somewhat unseasonable discourse.”
“What was the text?”
“Many are cold, but few are frozen.”
Many U.S. newspapers reprinted this anecdote until March 1886.
The phrase then occurs in a number of different (and probably equally fictional) anecdotes—of which it is impossible to say whether they were inspired by, or created independently from, the original one.
For example, this story was published in the Buffalo Commercial Advertiser (Buffalo, New York) of Tuesday 4th May 1886—and reprinted in several U.S. newspapers in the course of the following months:
Confused as to the Text.
Mrs. Partington, after attending a country church in the winter, remarked that the text was very appropriate, but somehow the parson did not refer to it in his sermon. The text, as it caught the old lady’s ears, was, “Many are cold, but few are frozen.”
And this anecdote is from the Semi-Weekly Interior Journal (Stanford, Kentucky) of Friday 28th May 1886:
A little three year-old having heard a sermon on “Many are called but few are chosen,” quoted the text as “Many are cold but few are frozen.”
The earliest occurrence that I have found of the phrase many are called (but) few are frozen is (with an explicit pun on cold) from this line, published in the St. Albans Daily Messenger (St. Albans, Vermont) of Wednesday 1st December 1886:
Of cold waves, many are called, few are frozen.
The St. Albans Daily Messenger was probably referring to the following, published in the Democrat and Chronicle (Rochester, New York) of Sunday 28th November 1886:
Many cold waves are called by the weather bureau, but few are frozen.—Philadelphia Press.
The phrase was introduced into British and Irish English when the above-quoted anecdote published in U.S. newspapers from September 1885 to March 1886 was reprinted in British and Irish periodicals from April to June 1886.
Here is a more recent example—a witty variant of the phrase occurs in the caption to this photograph, published in The Sunday Tribune (Dublin, County Dublin, Ireland) of Sunday 27th December 1987:
BABY, IT’S COLD OUTSIDE
● BRAVING THE WAVES: at a St Stephen’s Day plunge at Bray yesterday, organised by the Workers Party, was Liz McManus. Many were called, and not a few were frozen