Colder plugs transfer heat away from the center insulator/electrode faster than hotter plugs, and as a result tend to be cooler in operation. Hotter plugs have less material connecting the center insulator/electrode to the shell (usually a deeper or wider air gap on the business end, though possibly different formulations of insulator) so heat transfer to the surrounding head material is reduced.
Thats why the old old advice to run hotter plugs in a car that has started to burn oil exists; the hotter plug would tend to burn off the oil better than a cooler one, so not foul as quickly. Sometimes going with a cooler plug, especially in higher compression scenarios, can reduce the tendency towards detonation or allow use of a couple more degrees of advance without detonation.