I found this fabulous idea in the February issue of Family Fun magazine (February, 2008 page 39), and it has already made our cold, dark day a little brighter!
I trudged my way out into the backyard last night in the sub-zero weather to get my kids' empty plastic turtle sandbox (but an empty plastic swimming pool would work even better). Then I gave it a quick wipe-down and let the ice thaw out of the bottom enough to pick it up in a 36 inch ice circle and throw it into the back yard. Seriously. Then I cleaned the bottom and let it dry. While it was drying, I shredded all the papers in our shred basket and VOILA! The kids found it first thing this morning and have had so much fun already.
(**The lady who submitted the idea in Family Fun mentioned that she chooses to change colors of paper to coordinate with seasons or holidays. For example, green for Easter with plastic eggs hidden in the "grass", black and orange for Halloween, etc.)
For more excellent ideas, check out Scribbit's Winter Bazaar!