Yes, there is an air base in Cold Lake; Marc and I saw F-16's flying overhead. Though it can be quite hot in the summer and was hot enough for me last weekend, Cold Lake is very cold in the winter, but that doesn't stop people from ice fishing and winter sports--unless you experience one of their freak winter storms where the waves virtually freeze in mid-air. And yes, there's a lake with a popular marina, but the lake is far grander than what I thought I'd find and it's cold but swimmable during summer months.
Cold Lake is divided into a north and south area. We stayed mainly at the north end, right by the lake and the marina. This is where I'd recommend people stay. There's a short strip of charming and unique accommodations along Lakeshore Drive, all with an amazing view of the lake, which is right across the street.