A better understanding of how thermal alliesthesia affects human thermal perception during dynamic conditions is important in view of the emerging "smart grid" paradigm and associated demand-response (DR) programs that call for the implementation of set-point temperature modulations in buildings. In this paper, we report the results of an experiment exploring the subjective responses of 44 males and 76 females to four different whole-body warm and cool cyclical temperature modulations at different moments of the day (morning/afternoon) and in distinct seasons (summer/autumn). The study aimed to better understand how the relationship between thermal comfort and thermal sensation is framed by thermal alliesthesia. We found that temporal thermal alliesthesia significantly affects thermal comfort. This alliesthesial effect depends on both previous and actual thermal sensations and gets stronger as we move far from neutrality. The season was also found to significantly modify the relationship between thermal comfort and thermal sensation which confirms the existence of seasonal alliesthesia.