I thing the vapor barrier is still something you want in cold climates. In cold climates, the plastic needs to be directly under the drywall. The moisture will stay in the drywall and can escape back into the interior and will be prevented from migrating to the colder portions of your walls (under siding or in cold spots of wall interiors) where it might condense.
Note: If the plastic is on the exterior right under your siding, it will trap moisture inside your walls, rotting your entire home frame and basically destroying your home (happened to some homes around here). So never do this in cold climates!
If you are using expanding foam insulation that seals walls tight, I think you can forgo the plastic since the foam itself will serve as a vapor barrier.