We moved to Nova Scotia from Tampa last year. I loved our first winter, and some of the purchases that helped were:
1) a pellet stove - fire is great for warmth and light. We didn't buy it (it came with the house) but I love it. Personally, I'd probably prefer a wood stove, but DW is fire adverse and values the convenience, so this is a nice compromise.
2) a spin bike - we get out a LOT in the winter, but this was great on days we didn't. I have it in front of a smart TV in the basement and do rhythm spin videos on youtube. I love having the music set the pace. I don't listen to this type of music, but I really like the EDM and reggaeton ones. Gabriella Guevara is my favorite, but there are a bunch.
3) TRX - same as above, plus I use it year round for the weight training (which I never did before). Similarly, I use Youtube videos for pace and exercise ideas (TRX Blast)
4) ice skates - I'm no good, but there's a Lion's Club with a free outdoor rink and skating under a clear blue sky is awesome.
5) yak trax - great for hiking
6) south facing windows - I work from home and my desk is in front of two south facing windows overlooking a wooded ravine -- I LOVE it.
7) house plants - having green around is good
8) sprouts - easy to grow fresh veggies year round
We've thought about cross country skis but haven't yet. This year, I want to check out some frozen waterfalls. I'm also sort of interested in a sauna, but the cold doesn't really bother me so I don't know that I'll bother. We have a friend with one on a trailer, though, so we might give it a try. Along the same lines, I thought about an infrared sauna for the basement, but it doesn't seem necessary.