I read an interesting study that was pretty conclusive that you *do not* burn significantly more calories when it is cold, but cold does affect your appetite. If I'm remembering correctly cold doesn't stimulate hormone production that increases appetite, but rather decreases the effectiveness of hormones that suppress appetite.

The study was done by having people exercise in a cold pool or in a warm room. After exercise both groups were offered a selection of snacks. The cold pool group, I think, may have burned slightly more (I don't totally recall), but they also consumed more than the warm room group - significantly more, and definitely more that would have simply offset any additional calories expended by being cold.

Moral of the story was... watch your eating after exercising in the cold -you will feel more hungry than you really are!

I'll see if I can find the actual study. It was some time ago and I had I think, a PDF copy. I haven't been able to find it out on the web... It was quite interesting.