Dubliners by James Joyce
Specifically, "The Dead." That story is the quintessential winter prose piece, and it will make you feel like your insides have been hollowed like a pumpkin (in a good way!). There's a story in Dubliners for any occasion, provided you have the emotional fortitude to withstand Joyce hurling literary bombs at your head (again, in a good way!).
What's your favorite winter read?