Outside on my back patio, with no shoes or slippers between my feet and the cold ground.
This actually happened last week. Sadie needed to go outside at 1:30 am, and I was sleeping soundly. Her whimpers made me semi-conscious, so I got up and took her out.
This experience might not technically qualify as sleepwalking, but I was at least partially asleep. The whole thing seems like a dream. I vaguely remember thinking, “Wow, my feet are really cold,” but I wasn’t lucid enough to put on shoes.