When I was in Boy Scouts, we camped every month, year round. Sometimes in the winter it was cabins, but we also would hike in and set up camp (usually left friday night). We got quite proficient at it and I used to like it alot...actually, I would love to get out and do it now. We made "dog sleds", I still have one, that carried our heavier gear, which included water. The key for happy winter camping is to go when it is COLD! the colder, the better, as the snow isnt so likely to melt on you, it acts as insulation , and you are less likely to sweat profusely.
You bury your water in a snow drift...it will not freeze. We usually had an area scoped out ahead of time and would usually pre-cut wood, and clear an area for a shelter. We would dig down in the snow, lay down boughs, and spread a tarp across the top...building up walls on the ends. With only a candle lantern or two, it would warm up considerably. The coldest we were out was a measured -20 on the Tug Hill in the early eighties, but we were comfortable.
Nothing like a still woods on a calm, clear night.
Now I have an insulated cabin, which is cheating. It still takes most of a day to warm it up though (wood heat and an area propane heater). I go up in the a.m., fire everything up and head out for an afternoon of activities, by the time I get back the cabin is close to warm.