Man, I feel underprepared for the festive cold-weather shoe category! I have plenty for warm weather but not for cold.
For cold weather, if there is no snow, I usually wear my Cole Haan OTK boots or my Pour la Victoire lace-up booties. If there is some snow on the ground, I wear my Aquatalia Rumbas or even my Blondo lace-up booties (the Blondos will work for quite a bit of snow, if need be).
I remember one year I had to go to a dance downtown, and the weather was absolutely awful! It was quite a bit below freezing, and the wind was also very bad, and it was snowing. I wore my Aquatalia Rumbas because what else could I do? Not the most elegant footwear, but I felt I had no choice. I saw young women huddling at the street intersections in their stiletto heels and bare legs waiting for the light to change so they could walk to their parking ramps. I might not have been the best dressed that evening, but at least I felt warm!