Didn't stain my new fence this summer: do it while its cold or wait until next year?
Definitely wait.  The temperature will be dropping low enough during the stain's curing process that many problems could present themselves.

GOOD NEWS, HOWEVER!  If you used pressure treated lumber, then staining the wood is almost entirely an aesthetic decision.  While lack of a stain will cause a greying of the wood over several years of UV exposure, the wood beneath the grey will remain sturdy.  (Also even with the stain, eventually UV will take its toll.)

Rest easy - it's a non-issue.

When it comes time to stain, http://www.sherwin-williams.com/homeowners/ask-sherwin-williams/staining/exterior-stains/  should give you all the prep info you'll need.