If you’d like to get your weather forecasts in iCal, head on over to Weather Underground, find your city, and check out the top right-hand of the page for the ICAL icon. There’s also an RSS feed.
I don’t have any other ical-format calendaring apps handy, but this might well work in those, too.
(Not sure when WU added this functionality — might well have been there for a while. :)