GENERALLY speaking, I'd rather have cold than hot, because you CAN always add a layer of clothes or grab a sweater/blanket.
BUT, you have to take my comment in context. I have only ever lived in the deep south. I'd take hot and dry over what we normally have, just about any day. We have heat AND high humidity. It is miserable. I suppose to some degree you do get used to it, and it doesn't add any "work" to deal with it (like lots of snow means shoveling snow, driving in icy conditions, etc), but it can be absolute misery if your a/c suddenly conks out. Knowing that you have to keep a cooler in the car just to keep groceries from melting before you get home sometimes is an annoyance I could do without. Being able to walk outside and not have my glasses fog up from the humidity/heat is another.
But.. .again.. it's all relative. Would I prefer to live in northern Canada and deal with shoveling snow and being iced in a few MONTHS out of the year? No way. But actually HAVING some colder temperatures wouldn't be so bad, ya know?
Where you have moved to (Cleveland, TN) is actually a wonderful combination of both. You get a taste of winter AND enjoyable summer...but not TOO much of either. We vacation up that way in the summers (and fall sometimes), and it is beautiful. And while it can get hot, it isn't quite the same as the oppressive heat/humidity combinations we get farther south (barrier islands of GA). Some days you can't do anything outside, except float in the pool. Just walking outside makes you begin to seep water. It's annoying to be sweaty right after a shower just because you ventured to get the newspaper out of the driveway. :(