When air remains relatively stagnant over an area for some time, it takes on the temperature and moisture characteristics of the area. Therefore, air which remains stagnant over a cold and dry area will become cold and dry. Air which remains stagnant over the sea or ocean in the tropics will become warm and moist. A body of air which has similar temperature and moisture characteristics throughout is known as an air mass.
Over time, air masses may move out of the areas over which they develop. As they do so, they encounter other air masses with different characteristics. When two air masses with different characteristics meet, they do not readily mix. There is usually a sharp or well defined boundary between the two air masses. This boundary is known as a front. There are different types of fronts such as warm fronts and cold fronts. Warm fronts occur when a warm air mass moves into a region of colder air. Cold fronts occur when a cold air mass moves into a region of warm air.

Diagram showing cold front (by Ravedave)
Cold fronts affect the Caribbean region (especially the northern part of the region) during the northern hemisphere winter. During this period, cold air from North America moves into the Caribbean. There is a well defined boundary where this cold, dry air meets the warm, moist air of the Caribbean. The cold air is denser and heavier and so it pushes its way beneath the warm air. The warm air, which is lighter and less dense than the cold air, is forced to rise. There are strong updraughts and tall cumulonimbus clouds are formed. There is often heavy rain and thunderstorms.
The video below shows what happens at cold fronts and compares it to what happens at warm fronts.
Move on to the Inter-Tropical Convergence Zone!
References
http://commons.wikimedia.org/wiki/File:Example_of_a_cold_front.svg
http://ww2010.atmos.uiuc.edu/(Gh)/guides/mtr/af/frnts/home.rxml