We too very much enjoy winter caching. We love it in the Nort Woods of Wisconsin. Over the past two years we have participated in the Great Northwoods Treasure Hunt hosted by the C of C's in St. Germain, Minocqua, etc. That's always fun. Great exercise. And no bugs, poison ivy, or foilage to contend with.
We also have found numerous caches via snowmobile. Our winter cache GC19YQ6 for "snomocaching" also inspired a bookmark list of the same vein.
We love caching with snowshoes in da Nort Woods which is about the only way you can move about. We also have a winter geo-kit of probes, huge spoons, etc. for finding those buried caches.
After a winter of that kind of caching summer caching was a breeze! Caching up in Timberline Echoe's neck of the woods is very challenging and fun. Getting to one or maybe two caches in a day is a good day.
First and foremost you have to have the right gear and need to have a solid outdoors sense about you. Half stepping through hip deep snow in the woods is the norm. For us it's a year-round sport which works out great for us because we are out-of-doors in all four seasons.
Sparse Grey Hackle and the Blondie Bloodhound
Try it!