贼 as an intensifier ('extremely / damn') is a hallmark of 东北话 and Taiwanese Mandarin. Productive prefix: 贼好 (super good), 贼便宜 (dirt cheap), 贼累 (dog tired).
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贼 literally means 'thief', think of the cold 'stealing' your body heat. Only the everyday-emphasis reading 贼 (zéi) is used here, not any literal criminal sense.
