Tiger is right. I will try to put it into simpler terms.
First off, the colder your engine is, the less efficient it is. Your engine wants to operate at a predetermined temperature. For our engines it is 192 degrees F. Check your Scanguage for proof. Second of all, if your engine is less then 192 degrees F, the engine will try its hardest to get to 192. This is done by the ECU, as Coastie explained above. The can be done by injecting more fuel into the engine. Lets say it takes 10 minutes for your engine to go from 20 degrees to 192 degrees. In the summer, it will go from 70 to 192 ALOT faster. Getting the block to warm up takes alot of energy. So while your computer is warming the engine up, you are burning more fuel.
Second, an engine is designed to run at the proper temperature. Your different materials expand at different rates. Aluminum has a lower melting point then steel does. Steel has a different melting point then iron does. All three metals expand at different rates. They are designed to fit the best together at operating temperature. When you first start your engine, you get "blow by" past your rings. Fuel does get into your engine when starting up cold. Until your engine gets to operating temperature, you loose some compression. The loss of compression is loss of power. Loss of power will require you to use more throttle (read fuel) to accellerate. That causes your fuel economy to drop.
Third, colder air is denser, like others have mentioned above. Denser air requires more fuel to keep your engine from going lean. Running lean will kill your engine quickly. The combustion chamber will get too hot, unless enough fuel is added. That also drops your fuel economy.
Fourth, oil. When it is cold, oil is thicker. It is harder for the oil pump to pump thick oil then it does to pump thinner oil. it is also true in the tranny and differential
Fifth, Here is a biggie. Reformulated fuel. MTBE, a chemical that is suposed to "oxyginate" your fuel will cause gas mileage to drop. The EPA has been "sold" (read told) that it will reduce emmisions so they require it. in the summer, MTBE is not used.
So to sum it up I will make a long winded statement that should bring everything into perspective.
When it is cold, your engine will take a long time to warm up. While it is warming up, the engine will inject extra fuel. While the engine is heating up, your engine oil, tranny fluid, and gear oil is thick and is hard to pump. Once your engine is at operating temperature, your engine requires more fuel to properly burn in the combustion chamber. An added chemical for winter gas causes your gas mileage to drop resulting in overall lower gas mileage.
Each item listed above only drops your mileage by a slight bit, but it adds up. 1/4 MPG here, 1 MPG there. Another 1/2 MPG here and another 1 MPG there. Add it up. It doesn't take long to go from 18 MPG to 15 MPG. Drive a tank full and you loose 60 miles per tankful. if you drive 350 miles per tank, you are now getting only 290 miles per tank.
Welcome to wintertime.
Things you can do to improve your MPG. Check the air pressure in your tires. I have seen tires loose 5 PSI between summer and winter. The tire isn't loosing air, the air is "shrinking". There is the same amount of volume, it is at a lower pressure.
Does that make any sense?
Tom