Cold. You can always add clothing if you are cold. You can only take off so much when you live in the heat. I've been to Arizona in the heat of August (+45C), It was brutal. On the other hand, here in winter it can go to -40 and I can still go outside and do stuff. Of course, that "stuff" consists mainly of shovelling snow, but still...
That's a joke, right? When does it get cold in California? I mean, even in the Sierra mountains in the middle of winter, it barely goes below -10C (15F). I think you don't know what cold is. For us canadians, Vancouver is considered "warm". Not to mention that I used to live in a place where they were lucky if the temperature was above freezing for more than a month in the summer.
I don't know what it's like to live in a warm place, I've never lived anywhere below the 45th parallel (but as far up as the 68th). All I know is that after a long hot summer, I'm glad to see the cold come back again. Like RJ said, you can always put more layers on, but if your almost naked already and still sweating like a pig, there's nothing to do but to be in misery, or never get too far from an AC'd place.
If I had to live in a hot place, like California, I would need benefits like a beach nearby, preferrably my backyard should be a beach ;)
Not having to deal with some of the winter hassles, like plowing, slipping, closures, ... so on.. would be kinda nice too.
Not to mention, if you live in a very warm climate there is more pressure to keep your body "presentable". This, however, does not apply to the Southern US. I saw more morbidly obese people in the two weeks I spent in Tempe, Arizona than I have ever seen - most of them in Walmart.