This In-Depth Guide is still a work in progress
Intro:
Spending lots of time playing ARPGS (action RPGs) such as Diablo 2, Torchlight 1 and 2, Dungeon Siege series, etc, I’ve decided to try out Grim Dawn. And I have to say, this is, in my opinion, the best ARPG I’ve played by far. In most of these games, I’ve favored casters over the rest of the classes available in-game. And whenever I build a caster toon, I usually roll a non-elemental (bone necromancer in D2), or a FROST focused char. More often than not, this type of build in whatever game you play, offers great crowd control, decent damage, and great survivability, which makes it a very versatile character to play with. And because I fell in love with the character I made, I decided to share my build with the rest of the community 
As the title suggests, this focuses more on skills related to ice/frost, and giving way to a few lightning/physical damage too (more on that later). The character will be taking both Arcanist and Nightblade specs to get the most out of the cold damage we’ll be dishing out.
Before we get started, here are some terms and abbreviations you may encounter later on:
CD - cooldown/recharge
CC - crowd control (stuns, slows, snares, etc)
AOE - area of effect
Ene - energy
HP - health
Nuke - high damage spell
PB - Phantasmal Blades
OFF - Olexra’s Flash Freeze
TSS - Trozan’s Sky Shard
VoS - Veil of Shadow
MSoP - Maiven’s Sphere of Protection
SP - Star Pact
Q: What spells will I be using in combat?
A: This build will focus on the following spells.
Phantasmal Blades (with frenetic throw) will be your filler spell. Ideally, you’ll be using this whenever OFF and TSS is on CD, or you just need to pick off a few monsters that somehow survived your other two spells.
Olexra’s Flash Freeze will be your bread and butter skill. It will provide you with great CC, decent damage and survivability.
Trozan’s Sky Shard will be your main nuke. TSS deals some pretty good damage in medium area. The downside of this spell is that it’s a bit inaccurate. You’ll find the 3 shards not hitting the mob that you cast TSS on. Also, this spell deals damage on the target area instead of shooting a projectile on a straight line, thus making it a bit more challenging to use on moving targets. Combining TSS with OFF makes it a lot easier to wipe out mobs that are on the move or even take down some bosses which can be CC’d.
Veil of Shadow will be your defensive aura (as it reduces enemy offensive ability and speed) and your source of debuff (lowers resistances, thus making your attacks more deadly) too.
Maiven’s Sphere of Protection will be your main defensive spell. It soaks up the damage you’ll be taking, thus making you less of a glass cannon.
Star Pact will be your base buff. It basically increases the damage of your spells and reduces the CD of your spells.
Q: Does it really have to be that complicated?
A: It only looks complicated at first, since there’s a bit more buttons you have to press BEFORE you go into combat. But once you’ve activated the 3 buffs you have (MSoP, SP and VOS) you can start wrecking faces with your frost spells, namely TSS, OFF and PB.
Q: Still, that’s a lot of spells! So which one do I get first?
To answer your (my own) question about which spell we should take first, there are two ways to approach this build.
You can go with as Nightblade for the first few levels, taking PB along with frenetic throw, then reserving the skill points once you reach level 10. This way you’ll have a spell w/o any CDs. The ideal weapon for this would be a one hander with some decent damage.
-OR-
You can go straight as an Arcanist, putting points on the mastery until it hits level 5, then taking OFF, mastery until 10, taking TSS. This way you’ll have 2 frost spells at your disposal compared to the other one, but do note that both spells have CDs. I would suggest equipping a ranged weapon so you can dish out some damage while waiting for both of your spells to be available.
After taking either of the two, I would suggest going straight to the Arcanist skill tree and upgrade your OFF and TSS as soon as possible, and taking up SP once your mastery hits 50.