Hey, welcome to the board, and it's great that you are thinking and asking questions.
Nitrox is just gas that you breathe, in and out, just like air. It's equally dry, and equally cold. The benefit of Nitrox is that it has less Nitrogen in it, and nitrogen is what you absorb at depth that can cause the bends if you absorb too much of it, or go up too fast to get rid of it as you ought. Nitrox has particular value when you are doing repetitive dives over a number of days, where the nitrogen loading of your body can build up over time. The value of diving Nitrox decreases if the dives are very deep (because you can't dive a mixture that's low in nitrogen then, because oxygen is toxic at depth) or if they are very shallow (where nitrogen loading is minimal). Nitrox is always more expensive than air, and may require that your tanks be prepared differently, depending on the blending technique your shop is using.
It is controversial whether Nitrox reduces post-dive fatigue. The one scientific study that was done said that it doesn't, but many people's anecdotal reports are that it does.
You'll learn a lot more about Nitrox, how it's made (several different methods), what the benefits are, and what the risks are, when you take a Nitrox class.