Both literally and metaphorically, in that the Valhallan infantry Cain serves with in the first three books and Duty Calls are assigned to bases in cold, snowy environments three out of four times...which is just like home for them and frequently serves them in good stead. Also, it might go unnoticed on a first reading of The Traitor's Hand that Cain's nightmares only ever end when Jurgen comes to check on him. The thought that he might not have been able to wake up without a blank around makes it a lot more scary and Mind Rapey in retrospect. And given that one of them involved a Slaaneshi demoness, possible physical rape too.
Here's a great one, if you can spot it: In every novel that is set chronologically after Death Or Glory, Jurgen goes out of his way to always make sure that Cain has tanna tea at the ready (even going so far as to catch up with a strike team that Cain was leading that was about to leave without him). Why? During Death Or Glory, it's a running gag that Cain keeps wishing that he had some tanna available, continuously asking whether anyone they meet has any, even making a joke, in Jurgen's presence, that the only cup of tanna on the planet is on the other side of a massive army of Orks, and Cain was just about thirsty enough to go after it. Now, put this together with the fact that Jurgen is EXTREMELY literal-minded, and almost never recognizes a joke when he hears it. The reason why Jurgen supplies Cain with tanna at all times is now clear: Jurgen genuinely believes that Cain loves tanna so much that he would fight through an army of Orks (or anything else, really) for one cup.
How about this: tanna is an actual drug. Not like heroin, probably something closer to alcohol or marijuana - not physically addicitve, but very psychologically addictive. This is why Valhallans have time to make it during battles. This is why Cain was actually willing to fight through a continent full of orks to get some precious leaves - abstinence, ladies and gentlemen.
It's tea. Valhallans are Space Russians. Russians love to drink tea. The Academy (like the one Cain attended) has a British feel to it. The Brits also like tea. Yeah.
It could be Chifir', an extremely strong Russian variant on black tea with a much higher caffeine content and alleged narcotic effects. Drinking an entire cup of Chifir would probably make your heart explode, though.
It's mentioned many times how people recoil from Jurgen, sometimes without even noticing that he's there. Cain attributes this to Jurgen's appalling lack of personal hygiene, but the 40K fluff describes blanks as creating exactly this reaction in others, which means that Jurgen's unwashed nature is likely deliberate on his part, to provide an obvious source of discomfort to hide this.
Likely Jurgen isn't even consciously aware that he's a blank. Think about it. The Warp is the manifestation of sentient being's emotions, hopes and dreams, fears and nightmares, all of it. Sentients, humans in particular, are able to come together and pool resources and power to a greater end because they can form social bonds through Empathy. We know a Blank is very dangerous to a Psyker because they cancel out their flashy warp powers, but what if it doesn't stop there, what if it goes all the way down to the basic levels of empathy that allow others to socially interact? What if that works both ways? Jurgen doesn't bother keeping himself clean, or well-groomed, or keeping his porn-slates hidden because he honestly can't see why any of that should matter.
After a few encounters with daemons and demons, he probably knows he's a walking anti-magic field, but he might not be aware of how it affects others.
So does that mean anyone in Real Life who suffers from some kind of disorder that makes them lack empathy or emotions and that causes other people to be weirded out by their presence is a.... OH DEAR EMPEROR!
By "A Mug of Recaff", Jurgen knows he's a blank. He may not have been able to understand Inquisitor Vail's full explanation, but it was explained to him. But by that point, the habit of not bothering with social niceties was probably too strong to change... assuming he saw a point in trying to change.
Cain at one point says that his memoirs are essentially elaborate confessionals. Here's a tip: if you describe yourself as an awesome person during a confession, you're doing it wrong.
Why does Jurgen treat Cain like that? Everyone hates blanks, right? He was very likely a Butt-Monkey since birth, assigning him to each other is a practical joke amongst the CO of 12th Regiment. He is stuck in the lowest military rank possible despite being potentially a great driver or a quartermaster officer. Then comes Cain, an infinitely superior officer, and treats him like an actual human being. And then risks his life saving him despite not even knowing the guy. And then treats him with genuine respect when he's assigned to be his personal aide - poor guy was surprised as if Emperor himself gave him a handshake. Remember the old principles of "I owe you my life", add Valhallans' honour code, which is likely as strict as that of Vikings and Russians, and there we go.
What further proves this theory is the fact that Jurgen never flinches despite facing Necrons, Tyrannids and Orcs. The only time panic is ever described is when Cain himself is either in danger or may be dead.
The first part of the boarding action of The Emperor's Finest is essentially a novelization of a Space Hulk game (plus a commissar and his aide), taking place onboard the Spawn of Damnation with Reclaimer Terminators as oppposed to Blood Angels on the Sin of Damnation.
It might seem unnerving for Zemelda, with no military background or formal training whatsoever, to be allowed to walk around with grenades practically spilling out of her pockets only a short time after being recruited by Amberly. That is, until you remember that in the role-playing game, the absolute simplest and most effective way for characters with no combat focus to still have an impact in battle is to just have them lop grenades at opportune moments. That, and/or give them a machine gun with cheap ammunition to pin the enemies in cover with full auto-fire for the actually skilled shooters to pick off at their leisure.
The phrase that Amberley Vail says to Ciaphas Cain in For The Emperor: "'Good. I'd hate to have to kill you.' She smiled again, and I wondered if she was joking or not. These days, of course, I know she meant every word of it." Other than the obvious way of looking at the sentence where because Amberley was an inquisitor she had the authority to do so; Cain specifically said that Amberley meant every word. Which is to say, she HATE to have to kill him. It was the closest she could say 'I love you' in such a grimdark universe plus the double meaning to the sentence.
Bonus points to Cain who indirectly acknowledges her affection by writing it down in his memoirs, it's as good as him saying 'I love you too'.
Even more bonus points on Cain's part when picturing Amberley seeing this after Cain had passed away.
Early on in "For the Emperor", Cain manages to stop a riot by ordering the guardsmen to stop rioting. While this is impressive, it makes perfect sense; all of the rioters were veteran Imperium soldiers, so if anything would snap them back to reality, it's a Commissar yelling at them.
And he's not even yelling at them to stop fighting, which could have resulted in an "oops, didn't see you there, sir" moment, he orders the first brawler he can make eye contact with to go get a broom, because the mess hall is now, well, a mess. Basically short-circuiting the "fight! fight" impulse in the guardsmen, with a "huh what?!?" command.
Also in For The Emperor, Penlan catches a ricochet. From a lasgun. Meaning that it would have had to strike a reflective surface inside a tank and then struck her. No wonder she's considered unlucky.
In "Caves of Ice", the tech priest Logash, who accompanied Cain during his expeditions into the mines, discovered the Necron tomb, pointed his Adeptus Mechanicus buddies into its direction, was the sole Adeptus Mechanicus survivor of the full-scale Necron incursion and played a key role in stopping said incursion before it could threaten the sector is described in a footnote as having a henceforth unremarkable career, ending up as a magos in the Labyrinthus Noctis mines on Mars. Why would such a man be palmed of as a glorified mining overseer, you ask? Simple, that's where the Adeptus Mechanicus keep their Omnissiah, the Dragon of Mars, who is all but spelled out to be a C'tan (Necron overlord/god).
It's implied that the dramatic covers of the books are Cain's various propaganda posters. The cover of The Greater Good features Cain fighting back to back with a Tau Fire Warrior. It seems strange a Tau would pose for such a photo, but upon close inspection, the Fire Warrior has too many fingers. There's a human in that armour.
Upon rereading For the Emperor, Governor Grice's blatant attempts to hit on Colonel Kasteen at the reception become all the more creepy when you remember that he's a genestealer hybrid. He probably intended to implant her so she could spread tainted genestealer DNA offworld, just like the cult would later attempt with Holenbi and Velade.
Given Mitchell's knack for making names that allude to other characters with parallel careers, having someone named "Sulla" rise to one of the highest positions of power within the Imperium has some... interesting implications for the Imperium's near future.