Cross country skiing is my #1 way to feel happy over the Alberta winter. I also get out on the fat bike trails with my mountain bike on days that the snow is hard. Surprisingly you can also enjoy regular hiking all winter long as long as you choose the trail wisely and stay away from avalanche terrain. I also learned to not be afraid of the darkness and go out for nighttime starlit skis/bike rides with friends.
I also started taking an annual 2 week trip to Arizona in early March to go backpacking in the desert. I spend a few months of winter enjoyably engrossed in the logistical planning and getting in shape for the trip, and then the trip is an early end to winter. I've really enjoyed it.
You can also pick up a hobby or projects to focus on over the winter. A hobby I picked up is designing and sewing my own backcountry camping gear (tent, sleeping bag, etc) during the winter. It gives me a deadline as I need to finish it by spring for spring trips. Another winter project for me was building a complete bike from parts for the first time.
Also getting out camping on a relatively mild winter day can actually be quite pleasant.
Overall - you need to find outdoor winter activities in your area you enjoy (ice fishing, skiing, fat biking, hiking, winter camping, etc etc). Dressing properly will make pretty much any activity fun. When you arnt outside you need to find an indoor project.
Sauna's are also a great help, if you have a place to put one. Unfortunately I do not.