Last winter was our first in Nova Scotia (moving from Tampa). I really enjoyed it, and I can point to a couple of things, purchase-wise.
1) We have a pellet stove, which I love, but we didn't purchase (it came with the house). It's a reasonably nice one, I think -- a Piazzetta. The heat and light you get from fire is just different than other sources (we also have a heat pump). And a pellet stove is a relatively easy and efficient way to do it.
2) We bought a spin bike for the basement. I like to trail run, and run outside as long as the ground isn't too wet / snowy. From December through April, though, I used the heck out of the spin bike. I like to do "rhythm spin" videos on youtube where the pace is synced to music -- we have a smart TV in the basement. I don't really listen to this kind of music, but there are some EDM and reggaeton rides that I really enjoy. Gabriella Guevara is probably my favorite, but there are a bunch.
3) Along the same lines, we also got a TRX for Christmas. Same thing -- I use videos on Youtube (TRX Blast). This I've been using year round (although I still prefer running when the weather is nice). I've never done any sort of weight training before, so this has been a really nice addition to my routine. I typically do it twice a week.
4) None of us are good skaters, but we all got ice skates. There's a Lion's Club nearby that has a free outdoor rink, and I really like that. Skating outside (badly) on a clear blue day is really great.
5) We also all got Yaktrax and did a lot of winter hiking.
6) I love to sled, and my daughter does too.
I'm interested in the sauna idea, and a little interested in the hot tub (that seems like too much maintenance for me). We have friends that built a little sauna on a trailer -- I'll have to try theirs out. I've also toyed with the idea of an infra-red sauna for the basement. Honestly, though, the cold doesn't really bother me so much (I just wear warm clothes) so I don't know how much I care about these. And I don't feel like where we are is so grey, but I assume that varies year to year. As long as I can get some sun, I seem to do OK. Oh, one other thing that probably helps -- I work from home, and I put my desk in front of two beautiful windows that get a lot of light. And I try to get outside on my lunch break (when I'm not doing TRX).
I'm also interested in cross country skiing, but we haven't done that yet. I'm curious to see what other folks recommend as well.