Last winter was my first winter playing and it worked out well. Few enough people around here play that the snow isn't trampled and it's easy to find the mark left by the disc in the snow. The worst part was that the cement tee pads weren't in yet, so teeing off was an adventure each time. I prefer deep snow to rain, mud and wind, and the cold can be neutralized fairly easily.
Last year I won an non-sanctioned tournament in February in knee-deep snow. Then took second in a sanctioned tournament in early march where the whole course was covered in ice. My rating has been steadily dropping since then.