The bakers’ creed says that ingredients for baking should be at room temperature before mixing. This general rule of thumb applies to ingredients such as eggs, butter and dairy. Eggs incorporate better, butter creams better and cold milk will only make the other ingredients cold again. By waiting for your ingredients to reach room temperature they will incorporate better. Your cakes rise better, the sugar in your cookies will be more evenly dispersed and over all you will have a more uniform product.
The only exception would be when whipping heavy cream. In this instance your bowl, utensils and cream should be as cold as possible. Bowls and whisks should be put into the freezer prior to whipping.
When making cookies you should chill your dough after your ingredients are incorporated to re-solidify your butterfats and keep cookies from being flat. Be warned that high sugar content cookies (such as pralines) will run flat regardless.