Why is my RTH8500WF WiFi Series WiFi Touchscreen Programmable Thermostat set to Heating, but I feel Cool or Mild Air and not heat? (Or Why is my thermostat set to Cooling but I feel Heat or Mild air and not cooling?)

Check your wires. If you have a wire in the RC terminal and no wire in the R terminal, insert the jumper wire. If you have a wire in the R terminal and a wire in the Rc terminal, remove the jumper wire. 

Check your wiring. If you have a heat pump, you may or may not have a backup heat source. (W controls your first stage of heating for Gas/Oil/Electric systems. O/B and Y control your first stage heating for heat pump systems. Backup heat sources must be connected to the W2, Aux, or E terminal for proper functionality.) If necessary, follow the wires back to your furnace or air handler and confirm the wires match the terminals on the control board.

Check your configuration. Most commonly, O/B is energized in Cooling (O on cool). For Rheem or Ruud brand heat pumps, the O/B must energize on heating (B on Heat).