The lead of single of Breaking Benjamin's 2nd studio album, We Are Not Alone. There are 2 Music Videos for So Cold, one is based in a swamp, the other is a promotional video for Hellboy, in which the song was featured. 1st Music Video: The music video of So Cold shows a preacher standing at the edge of a swamp. The story takes place in the 1800s, judging by the style of clothing. The scene then shifts to a group of people walking in a forest. One man can be seen carrying a large stone with the Breaking Benjamin Celtic knot on it.

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