Fortunately, opposed to popular belief you do not explode or freeze to death instantly, like seen on some big budget movies. But, while you're floating around in space, if you try to hold your breath, your lungs will tear, which would probably be fatal even if you went back inside immediately. On the other hand, if you exhale then your lungs will collapse and begin actively removing oxygen from your bloodstream and venting it into space. At which point, any blood flowing through your lungs becomes depleted of oxygen. It takes about 15 seconds for blood to travel from your lungs to your brain, so after about 15 seconds you will fall unconscious. Around 3-4 minutes later, you will die due to oxygen deprivation to your brain (Anoxia).
Since you're in space, there is nothing around you which conducts heat. Therefore, you won't actually freeze to death instantly, like if you were submerged in liquid helium (which at -452°F is colder than liquid nitrogen at -320°F). Instead, the moisture from your skin, especially moist exposed areas (eyes, nose, throat, mouth), rapidly evaporates, causing a cooling effect. After a couple of minutes, the frostbite would become an issue, but the oxygen deprivation aforementioned would have killed you much sooner than the heat loss.
Then there's the pressure change to worry about. The difference is only 1 atomosphere of pressure to 0 atmospheres of pressure. Divers generally experience up to 10 atmospheres of pressure or more during ascent, and "the bends" becomes an issue. But, floating around space, these effects would be minimal and far less damaging than your lack of oxygen. The worst you'd have to suffer from this is a bit of pain in your joints.
The ultraviolet radiation exposure to your skin without any protection would be a problem. Assuming you've decided to take this little venture from earth, you'll be getting all sorts of infared, visible spectrum, ultraviolet, microwave, x-ray radiations and nuclear particles. You'd probably have more luck of surviving in a running microwave. The heat wouldn't be too gentle either. But, like freezing, nothing around you conducts heat. So, you won't actually burn to death instantly. You'll definitely be dead from the oxygen loss long before that.
