There are plenty of add-on outlet covering boxes out there. Clear or opaque, single, double, horizontal or vertical hinged, easy opening or secured. They're the 'right way' to put something into an exterior outlet but have it reasonably protected from the elements. Bearing in mind, of course, that not all devices operate well at all temperatures. Cold plays havoc on things with relays. Heat's the death of most IC-based devices. It's extremely tough making a device that would work in outside environments at a price point most people would be willing to pay.
Which won't work long-term because of humidity and condensation issues. Not to mention fire hazard.
For control, wireless is nowhere near as reliable as wired-line. For something involving considerable risk, like HVAC, I'd be incredibly wary of a control that wasn't wired. Wireless is just too prone to interference (accidental or otherwise). For lighting it's usually an acceptable risk. But for controlling the furnace, no thanks. Having it run too often wastes money, having it not running risks freezing pipes.
That said, a couple of wireless sensors feeding back to something intelligent in wired connection to the furnace would be interesting. If a sensor goes on the fritz and reports a value dramatically different than others the controller would have to be smart enough to recognize what NOT to do about it.
Automating HVAC is a lot less trivial than it seems. Properly handling pressure, avoiding condensation, on/off cycling, the list goes on.