Members of the cabbage family are known for growing well in cooler temperatures and for being frost-tolerant. This family includes cabbage, broccoli, cauliflower, turnips, radishes, kale, chard, and brussels sprouts.
A few of these vegetables actually react to cold conditions and frost by producing sugars, which make these notoriously bitter vegetables taste rather sweet. Brussels sprouts and kale show this characteristic most prominently. (Try roasting frost-cured brussels sprouts with a bit of olive oil. Yum!)
Leeks, though a member of the allium family, have a similar reaction to cooler weather. Try making leek and potato soup with leeks from before and after first frost to see what we mean!
Some root vegetables also become sweeter after a few frosts. Parsnips are the most notable, but also try carrots and celeriac. Rather than producing sugars, cold conditions cause these starchy vegetables to convert their existing starches to sugars.
Ask the folks at the farmer's market stands if their farms have gotten a frost yet - farms in the country often get frost long before the cities.
Can you recommend any other veggies that are better after cool weather has set in?