Yeah, everything has to come apart in the spring for a soak in some degreaser, then be dried and re-greased. I like to use marine grease on anything that doesn't need to move (seat post tube, any screw that goes into the bike to hold on your racks/water bottle holders) as it's pretty waterproof and keeps all the crap out of the bike. I use snowmobile grease on the bike hubs so they don't freeze solid when it gets down to -30.
I grease my cables all winter long to keep water out of the cable housings. If your derailleur is getting sticky, check the bit of cable housing near the rear wheel of the bike, and grease/lube up the cable in that area, then work the derailleur back and forth a few times to pull the lube into the housing. This will make things much smoother. Might actually be a good time to replace your cables, winter cycling is hard on them.
Remember to check your chain often in the winter (take a measuring tape, the center pin on one of the links should match up exactly with the center pin 12 inches away. 1/16th of an inch over and the chain is almost done. 1/8th of an inch over and you absolutely need to change the chain. More than that and you probably need a new cassette too.