Have you tried Chergui? It's indescribably gorgeous and I think it would work beautifully in cold weather. When it's cold I enjoy Eau des Merveilles, Angelique Encens, Opium, POTL, Noire du Mexique, Ginestet Botrytis, Keiko Mecheri Loukhoum and Gourmandises. It seems that fragrances with amber, vanilla, and spices are cozy and warm my chills.
In the recent cold, rainy weather I've been enjoying and appreciating my new found Carnal Flower and A La Nuit. I think these happy florals help fight the gray weather, too!