Some of the suggestions – like visit Yosemite in the winter and Fat Biking in Sun Valley, Idaho– are specific to certain locations, but most of them are things you can do just about anywhere there is a bit of snow. Those options include learning to ice climb, cross-country skiing under the stars, go backcountry skiing, and learn to dog sled. MJ has some good suggestions on where to do all of those things as well, but those adventures are a bit more flexible, with opportunities to embark on those winter escapes in many different places.
Of course, none of these activities are going to be especially enjoyable if you don't have proper gear to keep you warm. Make sure you have a good layering system, as well as boots, a hat, and a good pair of gloves. If you're well equipped, winter can be just as enjoyable as any other season to be outdoors, and often times it is even more rewarding. There is nothing quite like hitting the backcountry and finding you have the place all to yourself.
One of my all-time favorite trips was a winter excursion to Yellowstone National Park a few years back. The place is utterly spectacular – and completely deserted – in the winter months. And yes, it was indeed cold, with temperatures dropping well below 0ºF (-17ºC), it was still an amazing place to be. If you haven't done that adventure, definitely put it on your list. You won't be disappointed.
Stay warm, stay active, and enjoy the season. It has a lot to offer.