Winter could conjure many images. The unpredictable snowboarding races. James Bond skiing for dear life (in the opening scene of "The Spy Who Love Me"). The gradual cracking of the Antarctic ice shelf. You might be one of the many who doesn't believe in winter sports, opting to go near the fireplace and read a book.
This is the time of the year when the familiar place we knew doesn't exist any longer. The cold would surround us while the darkness grew from nowhere. It must be an unsettling feeling, but imagination could come in different shapes and sizes. Different genres (and sub-genres) features stories set during the winter, if not a few chapters devoted to the numbing cold. You would recall the Snow Queen, which won't be one of your favorite fairy tales. Your mother, who read the story to you (before you go to bed), rather see Gerda as a courageous girl who believed in the power of love. You're not charting into Celine Dion territory, though.
Winter would play a major role in some books. Let's look at a few:
The Lion, the Witch, and the Wardrobe (1950) by C.S. Lewis. It could be the sequel to the Genesis, where C.S. Lewis described a world that the Pevensie siblings found through Professor Digory Kirke's wardrobe. The benevolent lion, who created Narnia (while belting out a heartfelt song), was nowhere to be seen. Jadis became the ruler of the realm, and her feelings summed up the subzero temperature. Lewis, a theologian himself, didn't see any wrongdoing in stretching the Biblical tales. After all, young readers preferred a yarn (before dozing off). The White Witch's kingdom doesn't have any space for compassion and wisdom, yet the children didn't lose hope right away. Winter would be a few months at the most.
The Terror (2007) by Dan Simmons. J.K. Simmons couldn't be faulted in coming up with the worst scenario in a doomed Arctic expedition. The shortcut to fame and fortune was blocked by thin ice, and the weather was discouraging the crew of HMS Terror from venturing further. The author was one of the hundreds of North Americans who heard about the wild tales that shrouded the Arctic circle during the 19th century. It was similar to the humongous squids attacking ships from the Old World (and there were illustrations to prove it). Simmons could refer to oral tradition, and there were doubters. There might be a shred of truth behind it, as hunger and cold could play tricks on the minds of the surviving crew. They might have seen the Arctic equivalent of Yeti.
A Christmas Carol (1843) by Charles Dickens. Scrooge may be an unpopular character, but his case presented a different side of winter. Charles Dickens, who had seen hardship at a young age, would learn that nothing could be permanent in this world. In this deceptively simple tale, the coldest season could allude to a positive message. There would be hope amidst desperate moments, a happy ending for those who refused to give into the setbacks.
You might not be satisfied with the above samples, as you've been thinking of "Game of Thrones". This would be a start.