If it has snowed recently where you live, build a snowman or go sledding. Sliding down a snowy hill on rubber inner-tubes is a fun activity we used to do in my family when I was a kid…just be careful because it can be dangerous! My sister broke her arm doing this (although we weren’t sliding down a hill, we were being towed behind our family Volkswagen and she slid off the road and hit a tree…oops!)
If there is no snow, go ice skating at a local rink.
However you play, dress warmly!
[photo from jupiterimages.com]