Someone mentioned sun dogs, caused by ice crystals in the air (and could lead to some interesting myth ideas). Their counterpart are the moon rings, with a similar cause. Essentially, they are rings around the moon. I did a quick google for pictures; here's a decent one: http://www.magicdave.com/astro/ring.jpg. Again, this has some very interesting mythological ideas ...
One of my favourite winter phenomenons is hoarfrost. You need just the right combination of fog, freezing cold, and very still air. With this in place, very delicate structures of ice crystals form over everything. The effect on trees is really quite striking, with every twig of every branch of every tree in the woods covered in these delicate crystals. The pictures can't do it justice, but here's a decent one: http://www.pbase.com/image/878421.
On colder days, guys with facial hair will wind up with a fairly significant buildup of icecicles in their mustaches and beards.
Frostbite is just nasty. I had a touch of it on the tops of my ears (not uncommon among Canada's youth). The pain when the frostbite set in was bad; kind of a shooting pain that lanced through my ears and down into my face. The worst part though was warming up, when the blood started circulating again. I once had my appendix become inflamed, close to rupturing. Its a toss-up as to which pain was worse.
I saw a documentary about two arctic explorers who were trying to be the first to make it to the North Pole strictly on foot, no dog sleds, no nothing. Just a sled they dragged behind themselves. One of them managed to put his foot through a hole in the ice and into the water. They made camp soon after, and when he removed his sock, his small toe went with it. They decided to call it quits at that point.
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