Here is my solution. I does not use those fancy Linq queries :-), but it has some advantages:

• you don't read more than the needed fields
• you never allocate any List or Array which saves the memory especially for big collections, and should pleases the garbage collector (you can always do a new List<ClimateDailyData>(...) at then end if needed)

• I also didn't use Split in case the lines are really long. It's all 'yield' based (the framework should have an IEnumerable version of split IMHO...)

  public static IEnumerable<ClimateDailyData> ReadDailyData(string fileName)
  {
      if (fileName == null)
          throw new ArgumentNullException("fileName");
  
      if (!File.Exists(fileName))
          yield break;
  
      int lineIndex = -1;
      foreach (string line in File.ReadLines(fileName))
      {
          lineIndex++;
          ClimateDailyData dayData = new ClimateDailyData();
          int i = 0;
          foreach (string field in ReadDailyDataFields(line))
          {
              if (lineIndex == 0)
              {
                  // handle latitude stuff
                  continue;
              }
              switch(i)
              {
                  case 0:
                      dayData.DayDate = DateTime.ParseExact(field, "yyyyMMdd", CultureInfo.InvariantCulture, DateTimeStyles.None);
                      break;
                  case 2:
                      dayData.MaxTemp = double.Parse(field);
                      break;
                  case 3:
                      dayData.MinTemp = double.Parse(field);
                      break;
                  case 4:
                      dayData.Rain = double.Parse(field);
                      break;
                  case 5:
                      dayData.Pan = double.Parse(field);
                      break;
                  default:
                      break;
              }
              i++;
          }
          yield return dayData;
      }
  }
  
  public static IEnumerable<string> ReadDailyDataFields(string text)
  {
      if (text == null)
          yield break;
  
      int lastPos = 0;
      for (int i = 0; i < text.Length; i++)
      {
          if ((text[i] == ' ') || (text[i] == '\t'))
          {
              if (i > lastPos)
              {
                  string field = text.Substring(lastPos, i - lastPos).Trim();
                  if (field.Length > 0)
                      yield return field;
                  lastPos = i + 1;
              }
          }
      }
  
      if (text.Length > lastPos)
      {
          string field = text.Substring(lastPos, text.Length - lastPos).Trim();
          if (field.Length > 0)
              yield return field;
      }
  }