Nancy from Sage Parnassus listed a cozy winter book list and inspired me to make a list of wonderful winter books too. I won't duplicate the titles she already listed, so please make sure to check out her list.
A Redwall Winter's Tale, by Brian Jacques, illustrated by Christopher Denise
Winter at Long Pond by William T. George, illustrated by Lindsay Barrett George ( Disclaimer, I have read Fishing at Long Pond, but not this one, so I'm basing my recommendation on that knowledge.)
Stranger in the Woods by Carl R. Sams II and Jean Stoick
Snowmen at Night by Caralyn Buehner, illustrated by Mark Buehner (There are now many in the series, but this is the only one we have read besides the Christmas title.)
Katy and the Big Snow by Virginia Lee Burton
Winter on the Farm, Laura Ingalls Wilder, illustrated by Jody Wheeler and Renee Graef (This is from the picture book series called My First Little House Books. Two other wintry titles from the series are Sugar Snow and Winter Day in the Big Woods.)
Winter Barn by Dorothy Ripley, illustrated by Pat Schories
Winter Poems, selected by Barbara Rogasky, illustrated by Trina Schart Hyman
Stopping By Woods on a Snowy Evening by Robert Frost, illustrated by Susan Jeffers
The Snow Globe Family by Jane O'Conner, illustrated by S.D. Schindler
Over and Under the Snow by Kate Messner, illustrated by Christopher Silas Neal
No Two Alike by Keith Baker
Under the Snow by Melissa Stewart, illustrated by Constance R. Bergum
Treasures of the Snow by Patricia St. John (and I love the movie too!)
And please let me know what other books you enjoy in winter as well!