Running outside in the winter is awesome.  Don't give in to using treadmills in the gym!

Don't forget about your feet though.  You can spend tons of money on nice jackets and clothes, but if your feet your cold or wet, it's miserable.  Water-proof shoes, running gaitors and good socks are what you need for a sweet winter running  setup.  Any socks made by Smartwool are good and Keen makes great trail running shoes.

If you are adventurous, you should consider getting some running snowshoes.  They are way more fun in the snow that regular running shoes.