Wembley gigs, depending on stage set up, are something like 70,000-80,000 people I believe, those are figures I've been told at least, might be worth checking for more accurate figures as people are always saying nonsense, but as the stadium as a football stadium is around 90,000 I think that is about right.
As for differences, well it is open air, but due to the vast number of people you shouldn't really get cold, unless you are sat in seating and not moving then I imagine it might get a little cold.
Stadiums are bigger than the o2 as well, so if seated your view of the stage might be very bad, or if you are stood near the back as well, might be worth taking that into consideration if you prefer watching the stage to the screens.
Also people get let in different entrances, so check your ticket for where you need to queue