Recently I got an email that asked if someone should be concerned about moving to a state that was in the northern latitudes and which got really cold, and if that would effect them getting their nose pierced. On the whole, weather isn't much of a factor when it comes to body piercing, but there are a few situations where you have to maintain some level of awareness.
Some piercings are very close to the body, i.e. nipples or navels, and those aren't going to be effected by temperature changes very much as they are most often covered by clothing and are going to stay body temperature due to their proximity to your torso. For piercings that are closer to extremities (surface implants on wrists or hands) or through thinner tissue (ears and noses) there are a few uncommon situations where you have to take more care.
I once spent a New Year's Eve in Chicago where it dropped to seven degrees below zero Fahrenheit. I could feel a radical difference in the one ear that has piercings that go all the way around the rim versus the one that doesn't. And my lip piercing was getting so cold, I could feel the inner wire chilling against my teeth. Because metal can conduct temperature changes so efficiently, you do have to take some care with extreme cold or extreme heat. Where this gets problematic is the fact that the metal can lose warmth faster or gain it faster than your skin.
In extreme cold large gauge piercings where you wear metal jewelry does have a slight risk of getting so cold it can facilitate skin burn or frostbite if it gets too cold. Likewise in an extreme heat situation (most often something like a sauna) there's a slim chance that a metal piece of body jewelry could become so heated as to contribute to a low grade skin burn.
In cold weather, it's a simple matter of wearing appropriate clothing to protect yourself. Hats, ear muffs or ski headbands are all that's necessary to give your pierced ears the protection from the wind and cold that they need. If you were going to be outside on a prolonged ski or snow-shoe trip, you might consider swapping the metal jewelry in really large gauge piercings for something made of wood or acrylic, both of which won't get as cold or have as much of a chance as freezing to skin.