The following Vegetables (in alphabetical order) are typically considered Winter produce. Depending on your geographic location and climate different fruits or vegetables may slide into or out of the strict, technical definition of Winter (December 23 - March 22). Growing things like Winter Produce follow nature's calendar and not man's. Winter Produce may straddle a few seasons.
Produce in season tends to be both abundant (meaning cheaper) and at the peak of its freshness and flavor. Consider cooking with fresh seasonal ingredients to improve your meals, your budget and your Flair, the 4th Lever of "Smart Kitchen's 4 Levers of Cooking.™"
If you want to learn more about the Winter Fruits and Winter Vegetables that are in season in the Winter in your Region or specific State, these two links go off site to About.com's resource on the subject.
Winter Vegetables
Belgian Endive
Broccoli Raabe (Rapini)
Cardones
Celeriac (Celery Root)
Chicory
Collard Greens
Curly Endive (Frisée)
Escarole
Jerusalem Artichokes (Sunchokes)
Kohlrabi
Lettuce (some varieties like "Winter Density" & "Green Wave " and locales See Lettuce Resources)
Parsnips
Radicchio
Radish (large varieties)
Rutabagas
Spinach (some varieties like "Winter Bloomsdale," and some latitudes)
Swiss Chard
Treviso
Turnips