I am a fan of milk stouts, Russial Imperial Stouts, and Robust Porters when it gets cold out. I also really enjoy Dunkleweizen and Weizenbocks but these are my personal tastes. I converted the White House Honey Porter recipe to all grain and was surprised how good it turned out, that is one of my personal favorite cold weather brews.
There are a lot of beers that are great in winter - anything with a bit of body & robust flavour whets my whistle when weathering winter (say that 5 times fast!). Porters are among my personal favourites, largely because of the variations possible within the style.
I'm assuming you are a new brewer - a good way to find things you like it to buy a variety of beers from a liquor store and see what you like (and to hook up with local homebrewers; most of us like to share our brews with other home brewers). Once you have a style or two in mind, people here can direct you to recipes which are in-style, and in many cases, are outright clones of the commercial beers.