I live in northern Idaho (which isn't quite the same as saying I live in North Idaho), and right now it is snowing. I hate the snow. I hate the cold. I hate ice and shoveling sidewalks and getting stuck and pretty much everything about winter.
Harsh winter storms, however, can lead to excellent scary stories. It is easy to point to the Christmas-themed stories and movies as winter tales, but those often have other motives. Yes, it is winter and Scrooge won't give up more coal than he has to, but winter is not as central to the thematic elements of "A Christmas Carol" as is the existence of Christmas.
Last year's "Krampus" effectively uses the winter elements: freezing temperatures, massive snowstorm, power outages. But the story is still about Christmas, not about winter.
The vampire saga "30 Days of Night" is a prime example. The winter conditions of Barrow, Alaska, are key to the plot. The vampires come to Barrow specifically because of the lack of sunshine during the depths of the Arctic winter. The plot device might seem silly, but it works. OK, it works best in the Steve Niles-penned comics. The movie is kind of flat.
Moving to the other side of the country, we have Stephen King. His mini-series "Storm of the Century" should instantly clue you into the topic: huge snowstorm covers small island off the coast of Maine. Throw in a killer interloper and watch the townsfolk prey on each other physically and emotionally. Really, it is what King does best. The storm and the continued isolation from the mainland drive the plot. It's more than a device. The storm is the reason for the story.
In many ways, the granddaddy of winter horror is a poem. Edgar Allan Poe's "The Raven" gets read at Halloween often, but the second stanza makes it a winter story: "Ah, distinctly I remember, it was in the bleak December..."
December's darkness is like that. Here in North America, December is a long drudge to the longest night of the year. As a local message board here reads, you know it is cold when you go outside and it's cold.
Which means it is time to curl up on the couch with a good book (or movie), a steaming cup of hot chocolate (or warm apple cider with Jack Daniel's Winterjack included), and avoid all outside distractions.
Seriously, just stay home.