The full phrase is "Californians have no soul, there are no seasons in California". Although I heard it said that the Californians' lack of soul is due to the plethora of hot tubs and marijuana. This is a backhanded self-complement heard when midwesterners get together and reminisce over their recent vacation in a nicer place. It implies that the Californian, who suffers through winter only for the 10 hour automobile drive to the ski slopes, is not the hearty, rugged, specimen of humanity the midwesterner is.
Some of the others things that Californians do not have, and suffer the worse for it, include good hot dogs, philly cheese steak, smoked meat sandwiches, decent ginger ale, and cigars.