Historic approaches to understanding biological responses to climate change have viewed climate as something external that happens to organisms. Organisms, however, at least partially influence their own climate experience by moving within local mosaics of microclimates. Such behaviors are increasingly being incorporated into models of species distributions and climate sensitivity. Less attention has focused on how organisms alter microclimates via extended phenotypes: phenotypes that extend beyond the organismal surface, including structures that are induced or built. We argue that predicting the consequences of climate change for organismal performance and fitness will depend on understanding the expression and consequences of extended phenotypes, the microclimatic niches they generate, and the power of plasticity and evolution to shape those niches.