Dutchman Lieuwe Westra was the best man on the day, though, as he prevailed at the top of the demanding Cote de Croix Neuve after a 178.5-km ride from Onet-le-Chateau to beat Spaniard Alejandro Valverde and Wiggins by six seconds.
Vacansoleil rider Westra now sits second overall, six seconds behind Team Sky's Wiggins who will be the favorite for Sunday's finale, a 9.6-km uphill individual time trial to the Col d'Eze "It's a big day in my career. I worked hard for it and today was my day," Westra told a news conference.
"It was a day in hell because of the cold," Wiggins told reporters. "It was a bit warmer in the final climb and I have to thank my team mates Richie Porte and Rigoberto Uran for their hard work.
"The priority is still the final time trial but maybe we did the hardest part today. It's not the kind of climb I like but I have worked very hard on that this winter. It is very promising." American Levi Leipheimer of Omega Pharma-Quickstep, fourth on Thursday, is third overall 10 seconds off the pace, with Valverde in fourth place 18 seconds behind Wiggins.
Wiggins, who is looking to become the first Briton to win the Tour de France in July, had team mate Richie Porte of Australia set a hard pace at the bottom of the Cote de Croix Neuve, a brutal 3.1-km ascent at an average gradient of 10 percent, to contain a possible Valverde attack.
The plan worked perfectly as Movistar rider Valverde was stuck in a small bunch of favorites of whom only Westra could break out some 800 meters from the line.
"The plan was to take the jersey home today. The plan was to drive hard on the climb to put Brad into the rhythm," Team Sky sports director Sean Yates told Reuters. "This was the hardest stage for Bradley." Valverde outsprinted Wiggins for second place while American Tejay van Garderen, one of the Briton's main rivals, was dropped and finished 30 seconds behind Westra.
Friday's sixth stage will take the peloton over 178.5 kms from Suze-la-Rousse to Sisteron.
