Go ice skating.
Build a winter bonfire and make s’mores.
Rent some snowshoes and go snowshoeing.
If you have the equipment, go winter camping. If that’s too ambitious, check out your state parks for cabin or yurt rentals. Once you’re there, go on beautiful winter hikes (afterwards, a cozy fire is definitely in order).
Take your dog for a walk. It’s one of the main benefits of having and owning a dog.
Go cross-country skiing.
Attend a dog-sled race. You don’t have to live in Alaska to see one of these – check your state’s Department of Natural Resources page, they usually have a list of upcoming events.
Build a fort and have a snowball fight with your kids (or your spouse/partner). Or buy a snow block maker and build an igloo.
Take a blanket and a cup of hot cocoa and sit outside on your front porch swing.
Shovel paths in the snow.
Feed the birds or go birdwatching. Make your own birdfeeders out of pine cones, peanut butter, and birdseed.
Go ice fishing.
Go on a winter picnic. Take blankets, sandwiches and hot soup in a thermos. This might give you some fun, cheap date ideas for couples as well.
Head out on a photo expedition to take pictures of the winter landscape.
If you live near a big city, set off on foot to explore it! You might want to check out some of the group buying daily deals sites like Groupon and LivingSocial to find new things to do in the area for cheap too.
Have kids or dogs? Set up an obstacle course in the yard with jumps, tunnels and other challenges.
Make snow paint. Simply add food coloring to water and put in a spray bottle, then go out and paint your yard!