I live in Green Bay, WI - where it is currently -4 outside. I just joined a gym last week - that should help.
I also have a treadmill at home.
At the gym I do yoga too.
The key for me is on those nice days - (these days that's any thing above 30) we take advantage of these days. We go outside! Skate, shovel.. anything!
Don't use winter as an excuse - it doesn't have to be.