Well, they're not all super-spicy, but my favorite warm fragrances for cold weather include...
Coco, naturally, although the older one is best as the current formulation is much more floral than oriental, and, as cestrum nocturnum mentions, Costes is herbal-spicy and rich, and although saffron's not listed it reminds me a lot of Safran Troublant, which is my absolute favorite saffron perfume. Oro by Roberto Cavalli is really more woody to my nose than spicy, but it's got cinnamon and coriander and is very warm and cozy ...and I'd describe Rochas Absolu the same way, warm, woody and creamy on an ambery base, but sans cinnamon and coriander. Caron's Parfum Sacré is another classic, softly spicy oriental that's great in cool weather, and Samsara definitely belongs in this conversation, as does Yves Rocher's 8e Jour which is a balmy, cinnamony and ambery favorite ...but it's long-discontinued and can be hard to find. Rouge by Hermès is also very warm, rich and resiny without being particularly spicy, but I think it fits the bill. And of course there's always Opium, Cinnabar and Youth Dew, which are all quintessential spicy orientals. My favorite ambers are Ambra Tibet by Ava Luxe, Montale Blue Amber, Ambraliquida by L'Erbolario and CK's Obsession, as well as Krizia's Krazy which is very similar to Obsession but with an extra-spicy punch of ginger.
I almost forgot to mention Bois des Iles and Coromandel, which again, aren't particularly spicy but are very warm, rich and luxurious, and are extra-special, beautiful and comforting when it's cold out.