What to wear to a winter party will depend on what the event is. If you are going to a casual buffet, you can get away with pretty much whatever you are comfortable and warm in. For affairs such as cocktail parties, however, it's best to stick with a cocktail dress, even in frosty weather.
Comfort Is Key
Nothing is going to kill the mood quicker than getting chilly sipping champagne. If you have to go to an event where a dress is expected, make it a longer or long-sleeved one. It's not considered a fashion faux pas to wear a nice pair of tights or a shawl. Adjust your party wear to stay comfortable. If the event has no dress code, wear whatever -- slacks, sassy skirts, sweaters or dresses fit the bill.
The best choice for a winter party will depend on both the event and the weather. Luckily, today's social requirements are laxer than in the past, so even if you don't hit a home run, expect quick forgiveness from hosts and other guests.