In cold weather, capillaries near the surface of the skin contract to force blood deeper into the body to keep its core temperature high enough. In hot weather, blood is forced into those capillaries so heat can be radiated from the blood through the skin to keep the core temperature down. A Canada-to-California move requires your vascular system to adjust to continual warm weather. Usually within a few weeks or a few months, your heat-radiating system works very efficiently. But when you go back to Canada for Christmas, you're more sensitive to the cold than you were when you left because your vascular system can't adjust as quickly as it once did to compensate for the cold. Again, it takes weeks or months to reacclimatize.
A change in climate causes temporary changes in your blood pressure, metabolism rate, oxygen requirements, and sweating and can even affect your immunity to illness. There are psychological changes as well. Cold climates with frequent weather fronts are more stressful for people (some call it invigorating). Warm climates seem to induce a more laid-back attitude, partly because strenuous physical activity raises your core body temperature, potentially dangerous.