Most people go south for the winter to escape the cold and ice. As a person who lives in a place where it is always hot, I prefer to find the snow. Niagara Falls is without question one of the most incredible and accessible waterfalls. An easy drive from Buffalo or Toronto.
For most people, Niagara Falls is a summer destination, because you are able to walk out on the platform that puts you right next to it and feel the mist. As amazing as that is, the waterfall transforms in the winter forming huge icicle formations amid the rapid-flowing downdraft making for a surreal wonderland of snow and ice. If you do have a chance to go, I strongly recommend the Canadian side. They have the best vantage point and you can get right up next to it. Bundle up, enjoy a nice warm cup of coffee from the nearby Tim Hortons and take a romantic stroll along the boardwalk. Accommodations are plentiful and more affordable in the winter. It is also less crowded. You can get a room with a view. If you go around New Years' you will also get to see a fantastic firework display and a light show that causes the falls to change colors. Enjoy dinner at the revolving restaurant tower or pay a visit to the nearby casino. It's all more fun in the winter.