Winter is dry for the most part, and definitely colder--sometimes just a sweatshirt will be adequate, and other times you'll need to bundle up. They do get snow, but it's more common in the Sandias.
Spring and autumn are more temperate, with pleasant temperatures and lovely weather.
Some folks ask if the weather is like it is in Arizona, and the answer is no, at least not in ABQ, because of the elevation. It doesn't get nearly as hot for as long as in a city like Phoenix, for example.
The elevation makes things challenging for some people--the city is at around 5,000 feet in elevation, but that goes up to about 6,500 in the Sandia foothills. If you're not used to the elevation, due to the thinner air, you might experience headaches and light-headedness during physical activity. Make sure to drink plenty of water--I've taken to carrying around a refillable bottle wherever I go. To feel "normal" here, it took me about four months. Before that, I didn't have headaches, but I did feel winded when carrying heavy things and going up stairs. I tired quickly when exercising, which was sometimes frustrating, but my body wasn't used to the limited oxygen.
Albuquerque averages over 300 days of sunshine (I've seen some estimates as high as 330 days per year), and UV rays are also stronger at higher altitudes, so definitely wear some sunscreen to avoid getting a sunburn. I wear a moisturizer with SPF in it each day.