Ha! As a British expat living in Spain for the past 2 years, I think the biggest shock for me was that Spain can be cooooold... Here on the Costa Blanca, it is wonderful weather in the spring and autumn and hot hot hot in the summer, but boy - in the winter it gets cold.
Of course the ambient temperatures don't go down as far as in the UK, BUT in the UK you have radiators in every home, carpets, damp-proof coursing, and good insulation. In Spain, homes are primarily built to stop the heat building up when it's hot, not to keep heat in when you trying to expensively heat your place in winter!
Lots of people moan about British pensioners in Spain claiming winter fuel allowance (which they are entitled to) - because they think Spain must be a warm place to live. Most of the time it is - but when it's cold you really feel it, and utilities are expensive here. I am sure it's the same down on the CDS by the way!
I love the changing seasons, which is why we relocated to the Med rather than the tropics... but I am looking forward to springtime coming, even if we've had a mild one this year. Bring on the warm evenings and sunshine!