If space permits, throw a workout tape in the DVD player or VCR and have at it. Even if you just have a few minutes, a segment or two of a good workout DVD will offer great benefits.
Ice skating and sledding are terrific forms of exercise. Not only does it not feel like exercise, but the whole family can join in as well. Cross-country or downhill skiing are good options, too. Be sure your gear is in good working order in order to avoid injury.
No matter what form of outside exercise you do, be sure never to do it alone -- it's too risky. If you should get injured, it's not quite as easy to get help when there's a foot of snow on the ground or the roads aren't passable. It's always better to have someone who can help you or go get help if something should go wrong.