I definitely agree with sounds_sound about Sun Kil Moon. Winter music to me is typically quite depressing. I really like listening to artists where there are vocals which are a bit obscured by a wall-of-sound effect: shoegazey bands like Have a Nice Life, particularly the album Deathconsciousness. A bit different, but The Soft Moon's self-titled album is a pretty good winter album in a similar way. Beyond that, listening to black metal is always great, but I'm not sure how many people on Hubski are into that!
Love black metal, I'd say Mount Eerie's Wind's Poem is my favorite black metal-influenced winter soundtrack. Also gotta say in addition to Sun Kil Moon, Mark Kozelek's earlier band Red House Painters is a personal favorite of mine, especially for the winter months. Slowcore/sadcore definitely feels right to me around this time of year, stuff like Codeine and Bedhead.