It seems like most of the Dramas that I've seen lately, everyone is wearing winter clothes and there's obvious cold weather.
Maybe it's just coincidence and they are filming during the winter season? 
I've never seen so many (nice) jackets, sweaters and turtlenecks lol

Edit*

Also,often they wear like 2 layers of thick sweater + jacket, is Korean winter REALLY cold? :O

Or is it just a fashion thing/wardrobe choice for the drama?
Yeah, I actually don't like em either, my neck itches. But I see them a lot in Korean dramas.
I think some guys look sexy in turtlenecks :P don't know about the weather there, I've never been to Korea
turtlenecks are an abomination to the fashion industry. Just hearing you say that makes me want to call the police najofrnhowjnfoaw 
Yuanwei Volunteer Staff
turtlenecks are cute and sexy but it depends on the type and also how the guy looks lolz 

anyway, back to the original question: no, it's not cold all the time in Korea. You just choose the dramas that were filmed or had the plot in winter/autumn.

Korea has 4 seasons (just like my country lolz): spring, summer, autumn and winter. And as a matter of fact, now it's summer and there are 33 Celsius degrees over there. There are 32 Celsius degrees today here in my country. :D