Question: From the moment we learn to communicate, we always get told, whether by our parents, or our teachers, or by anyone else, to avoid the cold, or to put a jacket on to avoid catching a cold, to dry our hair before we go outside, because we'll get sick otherwise, so on and so forth. I also was diagnosed with a pneumonia last year, while in Switzerland under chilly conditions ($-20^◦\text{C}$). This made me wonder, why does the cold make us sick? It doesn't seem logical to me that a viral infection like the common cold, or a viral/bacterial infection such as a pneumonia is more prevalent when it's colder outside. I always figured it was because our bodies are less 'effective' under cold temperatures, but this seems lacking to me. Can anyone explain?

Answer: 
Cold weather makes your body use more energy for keeping warm and less energy for other activities. This is made at various levels: 1) modifications of the diameter of arteries changes the blood supply in specific regions
2) In the electron transport chain, that is a metabolic pathway involved in producing energy after glycolis and Krebs cycle there is a disjunction between the electron transport chain and the oxidative phosphorylation caused by the production of thermogenin. This causes a minor production of ATP (energy available for metabolic processes) and dissipation of energy as heat.
Moreover enzymes need a specific environment to work (ph and temperature). A cold weather can decrease the temperature of the body and reduce enzyme activity. When you are sick your body can use fever to stimulate enzymes and power immunitary system activity.
Moreover cold weather causes a reduction of the movements of the cilia of the trachea, so dust and bacteria can enter into the respiratory system more easily. These are just a few examples. There may be others. I'm available for further discussion.
From what I understand, the current top answer states that it is a myth that us being cold or warm has little to do with the likelihood to get sick. 

This cannot possibly be the compete answer, without even needing any additional science. Simply go outside, at times of equal temperature and humidity, with or without adequate clothing.

Are you getting sick more easily being warm or freezing your butt off?

That's an experiment anyone can do and has inadvertently done at some time. I have VERY strong data that your own body temperature has a HUGE effect on your likelihood to get sick, so the virus alone cannot be the complete answer. 

Constricted blood flow during times of cold might be a factor in this. There is data on this. 

<https://www.ncbi.nlm.nih.gov/pubmed/6131011>

But there are also studies that do confirm that the virus itself is adapted to cold. 

<http://www.pnas.org/content/112/3/827.full>

The evolution of this virus might have been reciprocal actually. Other cells seem to divide better at higher temperatures. The interaction between animals, being more susceptible, due to their bodies conserving heat in winter, might have caused these particular pathogens to also adapt in reverse and to do better in colder weather.

The complete answer whether it is our bodies or the cold temperature is probably "both".