Snow and January go together here in the Northeast U.S. - and the kids love to get out and play in it, making snowmen, snow angels, snow forts, etc.
If it's too cold, then it's time for some inside snow play! Grab a basin of clean snow from outside to play in and make sure to get the mittens on … let your little ones mold the snow into mini versions of the snowmen they wish they were making outside! Be quick - it won't last long :)
When you're done with the cold stuff, make a paper snowman! First, cut three different sized circles from cardboard (a discarded cereal box works great!) and then let your children use them as stencils to trace around and cut circles from white construction paper. This is great for some small-motor exercise, as well as sizing lessons (small, medium, large).

Have fun with it, and stay warm!