Here is a great blog post about Yellowstone in the winter. It details the skating rink in Mammoth and cross-country skiing the terraces. Brings back some great memories I have of winter visits to YNP. Good times... http://www.nashan.com/2008/12/yellowstone-national-park-in-winter.html and some pretty good pictures!
Speaking of winter, snow, and cold, here is the cottage in the winter.