If you want to experiment there are two settings that you should start with:
Camera exposure systems will try to compensate for a scene that has lots of bright white such as a snowy landscape; this may result in darker images.
Caravan, © Hans Peter Rank, Canon EOS 5D Mark II
The 'Snow' setting on PowerShot and IXUS cameras automatically compensates for this. If you have an EOS then using +1 on the Exposure Compensation scale is probably enough, but shoot a sequence between +1 and +2 and check the histogram afterwards to be sure of capturing the perfect picture.
A snow-covered landscape on a sunny day can reflect a lot of blue sky. The Auto White Balance (AWB) setting of your camera should be able to overcome this. Again, if the images look too blue, try the 'Snow' setting on IXUS and PowerShot cameras. On an EOS change the white balance to 'Cloudy', it should give a more neutral colour.
Dress for the occasion
When you're wrapping up warm, don't forget to think of your camera too. Cold batteries will drain more quickly, so bring a spare and keep it warm in an inside pocket. Alternatively, look at the PowerShot D20 which is waterproof to 10 m and designed to work down to -10˚C.
When you are choosing gloves to wear, pick a thin pair so you don't need to take them off every time you want to take a shot.
Silvester, © Uwe Heusler, Canon Digital IXUS 500
Get up early and enjoy yourself
Getting out and about to take pictures in the winter months can be a huge amount of fun. But try to avoid shooting when the sun is at its highest, as it will overexpose your shots. So, get out early in the morning when the light is softer and before the frost has melted.
These tips should get you started on getting some great winter pictures.