I read an article about it once, don't really remember. I do know that running when it's cold makes it more difficult to breath because you're breathing in all that cold air at a really fast rate. (ie; during winter) I used to run a lot during the winter and I'd end up feeling sick. Makes sense...
either way - here's an article. No you don't burn more because you should be properly dressed:
ps. runnersworld.com has answers for everything