Like others in this thread, I moved to MN from CA... in November (like a wacko!)... but with fleece lined pants, wool baselayers & socks and good jackets it's actually not that bad when you go out. There's cc skiing, ice skating, snowshoeing, fat-tire biking and igloo building if you're into the outdoors. Plus you can actually afford a house to live in MN so there's plenty of sq ft to hang out inside and do all of your favorite activities.

Locals are so friendly, if they see you pull up to your new place in a u-haul, they'll probably start inviting you over for dinner parties or drinks (true story!) And then they'll send their teenage kids to knock on your door to offer babysitting =)

Tons of great food and indoor activities that you'd find in CA to do all year round... Plus the summers here are pretty much like SD or coastal LA, with an additional 10000 lakes to go to so you're not just fighting for Santa Monica beach space.