Some things that have helped to make the winter an enjoyable experience for me, instead of the time of year to dread are:
Skiing. We bought skis the first winter we moved here and then made sure we skied a couple of times a year. This year we have signed E up for skiing lessons both at Centennial during the week, and also at Snow Valley on Saturday mornings. The Saturday morning sessions are two hours, sans parents, so Dave and I will get to go skiing on our own once a week. Find a winter sport you like and jump in!
Planning a weekend getaway (or two). Last year we went to Lake Placid, the year before we went to Mont Tremblant to ski. We have nothing planned yet but we will pick something after Christmas.
Making lots of playdates. I love having families over in the wintertime for brunch or supper. People are usually less busy in the winter than the summer so it is a good time to have people over.
We could sled in our backyard last year, so we invited some people to do that.
Wearing great outdoor wear. I love my Ugg boots that I got last year, and my big North Face jacket. I love sweaters and scarves, flannel shirts, toques and mittens.