Even when it is extremely cold like -50 Celsius, one can still walk outside for hours with sufficiently warm clothes. But try the same when it is +50. And then spending weeks in air-conditioned apartments was strictly worse for me than in a heated home during the winter. Plus there is no insects when it is cold. So my preference is for colder climate.
I've lived in both, and my face hurts in the cold. There's nothing quite like that amazing feeling of walking through warm air, feels like the atmosphere is hugging me :) I prefer the warm :)
Yup, it's easier to dress for the cold than for the heat. Shorts & sandals only take you so far.
The thing is, in cold places, it is possible for the temperature to remain consistently cold for several days on end, day and night. In hot places, even if day time temperatures approach 50 degrees, at night the temperature will almost certainly be below 35 degrees. So you can always go out at night and be fairly comfortable temperature wise.