When baking you want all of your ingredients at the same temperature. This allows them all to mix evenly and distribute well. For example if you were making a cake with butter, eggs and maybe some milk or buttermilk, you'd cream the butter then add the eggs. If your butter had been perfectly softened to room temperature and you add cold eggs, your butter would immediately clump and not disperse in the mixture as evenly. Same with adding cold milk at the end of mixing your batter–it would be wonderfully mixed and then cold milk would seize all those other ingredients into tiny clumps that might create funny air pockets in your baked goods. To quickly bring eggs to room temperature I put them in a bowl of warm water for several minutes before using them in a recipe.
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