There is a thing called cold urticaria, as well as heat urticaria. Some people get hives in response to too much heat or too much cold, or sometimes other triggers (my grandfather apparently gets it from water--my grandmother jokes he's the only boy allergic to soap and water). I don't think it's at all dangerous, just annoying, and the only thing I know of to do is avoid the trigger. Ask your doctor about it, they might be able to give you something for it (I just know it happens, not what to do for it other than avoid).
Hmm, sounds like you might be particularly sensitive to temperature changes for some unknown reason. You should see a doctor about this. - Blu