There are some over-the-counter products such as Otex that help in the reduction of ear wax. You may also have inner ear issues that may lead to different problems. It may also affect balance in your inner canals and may affect your balance because the natural process in your ears is affected.
In a number of instances and if you are experiencing ear pain or suffering from problems in that area then you should consult your doctor immediately. Yet before you do, you will need to consider the following factors. There is a lot of blood that flows through your ears. The cold causes construction of blood vessels (everywhere, not just your ears) and this constriction reduces blood flow and thus oxygen flow into the delicate and sensitive ears. Also check out the locations near the ear drum which can be subject to the cold. You may have something called tinnitus which is a constant ringing noise in the ear canal. This is experienced when you come out of a noisy bar or club due to all the noise.
Does the pain occur in your outer or inner ear? You need to decipher where this is coming from and consult your doctor to book an appointment.