If you grow up in a place that has frigid weather, trick-or-treating in cold weather is the norm and something that you don't even really think about. I can remember many times when the temperatures were below freezing and there was snow on the ground on Halloween.
You just had to plan your costume keeping the weather in mind.

When my kids were little, I always tried to use sweatshirts and sweatpants as part of the costume. It was also a good idea to buy costumes, or pieces of a costume, in a larger size to allow for warm clothing underneath. Of course, many times we just couldn't ignore the fact that a winter coat might become part of the costume, even if you didn't want it to.
One of the best costumes I remember was one that my son wore when he was five. He went as a lumberjack- jeans, heavy socks, boots, flannel shirt over longjohns, down vest, hard hat, and gloves. He even had a toy electric saw and a coil of rope over his shoulder. It was a great costume for cold weather!
The best part of trick-or-treating (for me anyway!) was returning home after trudging through the cold for a couple of hours, and having the kids get into warm pajamas, and sitting down with popcorn and hot chocolate while watching "It's a Great Pumpkin, Charlie Brown", and sorting through all their loot with them.
I think people that live in warm climates don't realize how quickly the streets and sidewalks are cleared of snow in cold climates. If you live in places that are used to winter storms, you know that plows get out in full force. Of course, it isn't always the case. Sometimes you can get hit with a blizzard that keeps everyone inside for a bit.
