This sonnet deals with the ubiquitous topic of love and the way that it is such a powerful emotion that it completely confuses and overpowers those who are subject to it. The speaker in this sonnet describes the experience of love that others have said they have had, only then going on to insist that the love that he bears for his beloved, Stella, is far more intense, pure and strong than any such accounts. The oxymorons in line 4 therefore are part of the description of what love can do to us. Have a look at this line in context with the first four lines:
Some lovers speak, when they their Muses entertain,
Of hopes begot by fear, of wot not what desires,
Of force of heavenly beams, infusing hellish pain,
Of living deaths, dear wounds, fair storms and freezing fires.
The four oxymorons in line 4 therefore talk about the contradictory nature of love. It puts us in such a state of anguish and despair that it is like a "living death," as we are not dying but actually suffering a kind of death in life. Love brings us "dear wounds," as we are metaphorically wounded by love and the pain it brings us, but we deliberately desire those wounds. In the same way, we suffer "fair storms" and "freezing fires" because of the way that love induces in us a complete mix of contradictory emotions.