Cold Lake is a car city. The city sprawls between Cold Lake North (the older community on the lake) and Cold Lake South (formerly Grand Centre, the newer commercial hub), and while there are local transit options, a car makes everything significantly easier.
Driving is the practical choice for getting between the city, the provincial park, the ski hill, and CFB Cold Lake. Distances are short by Alberta standards — you can cross the entire urban area in under 15 minutes. Parking is free and plentiful everywhere.
Taxis and rideshare are available but limited compared to larger cities. Book ahead if you need a pickup, especially late at night.
The lake itself is its own transport corridor in summer — many residents with boats cross directly to the provincial park beaches rather than driving around. If you have access to a boat, it's the best way to experience the lake properly.