The Physical Planet
One of the best courses I took in college was on Physical Geography (especially read Chapter 10), which generally taught me why the Earth is the way it is, and how things like mountains and lakes and deserts are made. The website I link here isn't from the course I took, but it's chock full of good information.
Most climates are formed by the interaction of land, water, air, and coriolis effect (the coriolis effect has a lot to do with why a particular coastline has cold water, while another part of the same sea has warm water). The coriolis effect is essentially what happens when the earth turns on its orbit, and the water and air on this rock turn at a slightly different rate than the rocks.
If the planet were covered only with water, you'd basically have interconnecting circular oceanic currents at the tropics, subtropics, and polar regions, and each current would be moving warmer water and air to cooler places, or cooler water (and air) to warmer places (certain places where these currents intersect have little interchange of movement, and are called the doldrums). But when you add land masses, those currents run into land (where most people live) and bring cold air or warm air with them, and their attendant humidity.
Seasons are caused by the earth's tilt. It's possible to create a world without a tilt, but the climate would vary less seasonally. This, by the way, is one way to create a world in which there's a chronic winter state, or it's always summer, etc. You can still have weather, but the weather isn't dictated by the season, so you're more likely to have year-round weather that tends to be stormy or cold, or calm, etc.
When you add land, you get orographic lifting, which cools air, often causing any moisture to condense into rain or snow or even fog.
What role do you anticipate weather playing in your story? Do you have a lot of travel that you want to complicate with bad storms? Are you going to snow in your mighty heroes? Will there be a mighty battle, determined by sudden flooding? You actually don't need to know right now. Your exerise for today is to jot down ten plot devices that relate to weather, and what you think they do to the story (for example: a snow-in can turn the mood very claustrophobic... or very intimate).