It's very unsettling and ectoplasm is just not very warm.
When Dumbledore first got up at the beginning of the school year to give the speech of what's important to remember about Hogwarts, he covered most of the bases. Stay out of the forbidden forest or you'll die, Don’t go into the third floor corridor or you'll die a horrible death, and of course be sure to get to bed on time or you'll put the wrong ingredient in at potions class, and probably die (Fine we added that last one in but it was implied!).