What is this weather thing I keep hearing about?

You will only experience this if you live in or visit a community that has a really big room. *Really* big. In particular, the ceiling needs to be hundreds or even thousands of meters from the floor. What happens in a room of that size, then, is that convection currents can create warmer and cooler regions in the room, as well as regions that are more or less humid. At that point, a phenomenon occurs wherein, as a result of these localized variations, a natural form of circulation can occur (much like the breeze a fan creates, but without the fan), and in some cases, if the humidity differential is high enough, you can get condensation in mid-air, which will result in small droplets of moisture falling down toward the floor from higher up in the room. This is weather.

Where I live, we only have one room anywhere near big enough to experience weather, but I just happen to walk through it each day on my way to work. This room is so enormous, it even has significant periodic variations in the weather that we call "seasons". For instance, right now it's about 80F in the big room, but some times of year it gets down as low as -20F in there.