A little bit late because I got distracted by Don't Talk To Cops. xD Something that isn't actually winter music, but makes me feel all wintery anyway:

Nick Drake - Cello Song

Strange face, with your eyes
So pale and sincere.
Underneath you know well
You have nothing to fear.
For the dreams that came to you when so young
Told of a life
Where spring is sprung.

You would seem so frail
In the cold of the night
When the armies of emotion
Go out to fight.
But while the earth sinks to its grave
You sail to the sky
On the crest of a wave.

So forget this cruel world
Where I belong
I'll just sit and wait
And sing my song.
And if one day you should see me in the crowd
Lend a hand and lift me
To your place in the cloud.