For some reason, any time you see someone in a movie go into space without a space suit you invariably see them explode, freeze, or somehow boil. None of this is true, but it’s not like the vacuum of space is really all that hospitable.
There’s a neat blog post from 2013 that backs me up on this, but for the most part: going out in to space without a space suit is inadvisable, just for different reasons. There’s the issue of radiation, vacuum, and a distinct lack of oxygen.
Within a few seconds, you’d feel slightly warm, not cold, in space. Sure, space is cold but there’s very little transfer of temperature. This is because there’s no matter in space to transfer heat via conduction or convection. Instead, all you’ve got is thermal radiation. This means either heat will be being radiating to you slowly from the sun or heat will be radiating off of you slowly. You won’t become a popsicle.
The vacuum of space is dangerous, but not in the same way that you where people pop like a balloon. Instead, you’ll see some tissue swelling from water vapor under the skin, with some pretty gnarly bruises. However, this can also end up causing gas bubbles to form within the bloodstream which can be incredibly deadly. Another issue is that the decompression will cause the air in lungs to expand to an extent that could be incredibly dangerous. So, Pro-Tip: Before taking a space walk without a space suit, exhale as much as you can.
The vacuum of space means a lack of matter, though. Oxygen is matter. Often times, humans need oxygen to survive. This is where we come into our third problem: you can’t breathe in space, and worse, because of the vacuum the lungs actually will REMOVE oxygen from the blood stream. In under 30 seconds, you will start getting deoxygenated blood to the brain, and it’s lights out. Suffice it to say, it’s downhill from there.
So, short version? Don’t go into space without a pressure suit and a steady supply of oxygen.