Tele & alpine ski regularly, snowboard occasionally when there are freshies & skate ski quite a bit, often by headlamp at night. Skate skiing is wicked fast and a killer workout, lots of fun.
When ski conditions get bad the biking is often good, and having a Pugsley makes even marginal conditions enjoyable. I've been getting out on snowshoes quite a bit in the last few years, either scoping new trails or packing key singletrack sections when it's warm to make the biking good when it refreezes. I played hockey for the last 4 or 5 years but my biceps injury has put that on hold for a while.
Winter offers so many options that if you live in the north and complain about winter you really need to try something else. Even sledding is a total speed rush. A few of my friends have built and maintained some killer backyard 'luge' runs that are a blast. Sometimes they are scary when conditions get icy.