We are in Michigan and it is mighty cold here too. My kiddies enjoy making tracks in the snow, shoveling (to make a pile not to clean the drive way), movie night, making forts. Making cocoa or visiting the local shop for cocoa.
We do a lot of crafts. My 6 year old enjoys drawing above all things and is in the process of making her own "biggest picture in the world" Like in Ramona and Beezus. Our 4 year old lovess painting bird houses.
We visit the bookstore or the local library. We go to the mall just for the play place and occasionally, ride the carousel.
Do you have a pottery place nearby? My 6 year old also enjoy painting ceramics.