Optimum air temperature for engines is somewhere in the 50* - 70*F range, according to the former automotive engineers at Car & Driver. So you should get your best mileage then. Temps above or below that range should decrease mileage.
I am personally convinced that mileage goes down when it's really cold (like below freezing) - maybe because the cold air is slower to combust? I don't know... pure speculation on my part.
If you live in a state that has a different grade of fuel in the winter, that may be another cause of lower seasonal mileage, but I thought that the low-vapor-pressure fuels used in the summer in some areas decreased economy, and that the "normal" fuel used in the winter was better for fuel economy.