As a native Texan born and raised in south east Texas, I feel just the opposite. More people die from cold exposure then heat related issues. If you love the cold so much then why do you burn wood for heat. If the cold is so great, why have a fire at all.
People raised in the south like the heat where as people raised in the north like the cold. I could make a long list of the pro's and con's of both. There is a difference in extreme cold and extreme heat, vs. more moderate temps.
You don't get stranded in hot climates and you don't have to dig your way out and deal with snow and ice or deal with things freezing up or have to have a block heater just to get your car started just to go somewhere, given you can even get out at all.
There is probably more wild life in warmer climates, and wild life migrates south for a reason. I don't like the extreme heat but I also don't like the extreme cold ether. Having to dress in layers every day is a pain in the but. It restricts movement and your constantly having to layer and then peal layers off all the time. You also dont have to keep cold weather gear in your car in case you get stranded just to survive. Besides when your cold it can be painful to your hands, fingers and feet, not to mention frost bite.