Climate goes with setting. It's the weather: sun, rain, wind, thunder, tornadoes, snow. Everything of the sort.
When choosing a setting, you have to look at the kind of climate and weather that's typical for the area you've decided to set your book in. I can speak from experience that if you set your novel in southern New Mexico in the spring, there better be wind, and lots of it. You're setting your novel in the northeast part of the US? Get ready for lots of snow and cold in the winter. The midwest is more prone to tornadoes, and Florida is so humid your hair constantly looks like you just stepped out of a shower.
If you've completely made up your world, then it's a little bit easier because you have a slightly more amount of freedom in terms of what kind of weather is typical where. But that freedom only goes so far: north is typically colder, south is typically warmer.
My overall message here: do your research. Even if it's futuristic and the world as we know it doesn't exactly exist any more, try to at least have a general idea of where in the world your current setting used to be, and go from there. Has there been a drastic climate change in your novel? Research that, too; know what could cause it and what the lasting effects are. One of my friends wrote a book that takes place in a world devastated by nuclear warfare; she researched all of that to get the best idea of what kind of climate would exist after that.
Besides, it's a lot of fun to play with the weather. Let the tornado warnings in your character's mid-western town go off right in the middle of a fight between him/her and their significant other. They have to hide in a tornado shelter until it's all over.
Throw a thunder storm in; those things are super hard to navigate in, by car, bike, or on foot.
Make it hot; like really hot. Or go the other way and make it really cold. How does this affect the way your character lives?
When you're creating your world, just don't forget about dear old Mother Nature.