It's grammatically correct to say "What a wonderful climate!", but it's a bit formal and old-fashioned.

Here are some more natural-sounding ways to express the same sentiment:

* "This is a wonderful climate!" (more direct and casual)

* "I love the climate here!" (more personal and engaging)

* "The climate here is fantastic!" (a simple and straightforward statement)

Ultimately, the best way to say it depends on the context and your personal style.