Nick has always liked touching Natalie. Not the sexual kind (although he's sure that would be absolutely fantastic too, if he could), but the millions of little bits of physical interaction and intimacies mortals tend to take for granted every day. He especially likes the simple activity of holding her hand.
One time, in the middle of a Torontonian winter, he came out from the snow and laid his hand upon hers. Natalie yelped and jerked away from him. At his wounded expression, she was quick to reassure him that he hadn't invaded her personal space, but that his hands were too cold for her comfort.
She then launched into an explanation about heat transference, and how those with higher body temperatures are more sensitive to cold. Being a vampire and creating little body heat of his own meant he was a natural conductor for whatever ambient temperatures he was exposed to and, at the same time, was rendered completely oblivious to them. Which meant that, in the subzero chill, he was essentially a walking ice sculpture and didn't even know it. And no warm-blooded human wanted to be touched by a walking ice sculpture, no matter how friendly the walking ice sculpture in question might be (even if it was a really pretty, sparkly one).
Ever since then, Nick bundles up when the temperature starts to drop, wearing gloves and a thick coat so he can snuggle with Natalie, hold her hand or run his fingers through her hair without making her feel uncomfortable. And, for as long as she'll let him, he'll happily bask in her warmth (and, secretly, he thinks of her as melting all that's dark and cold in him away, but he can never tell her so because he's afraid it would come out wrong).