You probably don't sweat more. (Unless it's really hot inside your place.) When you're out riding your sweat evaporates. When you're stationary, you don't have any breeze rushing past you to evaporate the moisture so it feels like you're sweating more.
I find that my heart rate is always lower on the trainer. I try and work just as hard as I do on the road, or on the trail, but I just can't get to the same level. I've attributed this to the lack of competition.
When I ride with my buds, there are always little races going on, and I seem to be able to stress my body more in these situations. Even on a solo road ride, I seem to push myself by trying to keep up with cars and such.
Spinning classes were (still are?) all the rage and I guess it's an okay substitute in the winter but I'm sorry, riding a stationary bike is just plain BORING. I cannot motivate myself to work 1/6th as hard on a stationary bike as I can on my mountain bike. Cleaning that steep hill, hanging on for dear life on the downhill, and peddling my a** off to catch my hubby on the flats is the best workout ever!! It is NEVER boring and always FUN!!!
Just my personal opinion but throw that stationary bike away and get yourself a real bike. You won't regret it!
I put my bike on a wind trainer about the middle of October and ride 3 or 4 times a week through the winter. Here are some thoughts. . .
1. Indoor riding always seems more difficult than outdoor riding. I can't explain it, but the perception is that the trainer is harder.
2. Get a fan. Sometimes I use 2 and take the shirt off. A fan is not substitute for a 20 mph breeze, so you'll get warm.
3. Vary your workouts. Steady tempo, intervals, stand up sprints, etc. keep the boredom down, the intensity up (if that's what you want) and increase focus.
4. Use a heart rate monitor to judge intensity. When you're climbing your favorite 10% grade hill you know you're working hard. An HRM is a big help in getting intensity up, and structuring a workout.
5. Entertainment. I have a small TV in front of my bike and during recovery times, or nights when I'm in a steady tempo mode I actually watch it. When I'm doing intervals I can't focus on the TV, so it's just background noise.
6. According to my HRM (Polar M52) I burn between 500-800 calories per hour - indoor or outdoor - during a "normal" workout. An 800 calorie hour is VERY intense, but according to the HRM I've burned 1,000/hr. during a race. Note: I'm 42 years old, 162 lbs, 5'10". The HRM takes all this into account before using the heart rate to calculate calories.
7. No indoor centuries. My longest indoor rides are 90 minutes, but an hour is probably long enough out of season. Beyond 90 minutes it just gets boring.
8. Rear wheel pick up. My cycle computer has a rear wheel pickup so I can see my speed. Just another thing to keep boredom in check. If your computer has cadence, it give you another thing to look at and work on.
9. Just like outdoor riding you need recovery time.
10. Wind and fluid trainers are just simply better, but they have their drawbacks, too. Wind trainers are VERY noisy during hard efforts and sprints, and fluid trainers get HOT. Magnetic resistance trainers are quiet and cool, but don't give the exponential increase in effort that wind and fluid do. Even so, mag is quieter than wind and less expensive than fluid. If you get one, get one that has a remote resistance control so you can increase mag resistance while still pedaling.