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Colder air is often drier than warm air, and dry air can suck the moisture right out of your skin.
That's an issue, especially for the skin on your face. Using moisturizer is important, as it wards off premature skin aging, stops wrinkles from settling in, and, with added SPF, prevents skin cancer.
Yes, sun exposure is an issue even in the fall and winter. It still shines down its harmful cancer-causing UV rays that must be protected against with a SPF-containing moisterizer.
Taking all that into account, it's pretty easy to see why it's such a huge mistake to neglect to apply a daily moisturizer, especially in the fall and winter. It protects against skin cancer and makes you look younger. There's really no downside.