Temperature variability in the Southwest US is investigated using skew-normal probability distribution functions (SN PDFs) fitted to observed wintertime daily maximum temperature records. These PDFs vary significantly between years, with important geographical differences in the relationship between the central tendency and tails, revealing differing linkages between weather and climate. The warmest and coldest extremes do not necessarily follow the distribution center. In some regions one tail of the distribution shows more variability than does the other. For example, in California the cold tail is more variable while the warm tail remains relatively stable, so warm years are associated with fewer cold extremes but not necessarily more warm extremes. The opposite relationship is seen in the Great Plains. Changes in temperature PDFs are conditioned by different phases of El Niño-La Niña (ENSO) and the Pacific decadal oscillation (PDO). In the Southern Great Plains, La Niña and/or negative PDO are associated with generally warmer conditions. However, in terms of extremes, while the warm tails become thicker and longer, the cool tails are not impacted—extremely warm days become more frequent but extremely cool days are not less frequent. In contrast, in coastal California, La Niña or negative PDO bring generally cooler conditions with more/stronger cold extremes but the warm extreme probability is not significantly affected. These results could have implications for global warming. If a rigid shift of the whole range occurs, then warm years are not necessarily a good analogue for a warmer climate. If global warming instead brings regional changes more aligned with a preferred state of dominant climate variability modes, then we may see asymmetric changes in the tails of local temperature PDFs.