Nature's Playground, by Fiona Danks & Jo Schofield-This is the only book I've found that offers ideas specifically for cold weather play, which is unfortunate.
Sharing Nature with Children, by Joseph Cornell-learning activites that can be used in cold weather, and just a great outdoor book. You should read Sharing Nature with Children II, it expands on how to use Flow Learning a wonderful teaching method for children or adults.
There are several others, these are just the ones I happen to have in my collection. I've also got a number of outdoor activity books that are out of print-all of them were found at Goodwill and garage sales.
Being outside in cold weather provides just as many fun experiences as warmer weather, with same amount of planning s going to the pool or the park for a picnic. Look forward to it, plan and dress right, and make memories. Since I'm posting this at the end of winter, you've got 3 seasons to pump yourself up to have some winter fun!