If you're having trouble breathing, i.e. the cold is into your chest, or if you have a fever, or you're very achy (and you usually have a fever with this anyway) - I'd say skip it. If you just have a garden-variety cold, sniffles, stuffy, then most of the things I've read say go ahead and exercise, maybe just a little less strenuously.
"Promise me you'll always remember: You're braver than you believe, and stronger than you seem, and smarter than you think." Christopher Robin to Pooh