I've only ridden for one winter, but I take it inside both at home and at work. Calgary's weather is crazy enough that I'd rather let it thaw out completely and dry inside rather than have it partially thaw and then freeze solid outside after the water worked its way into various crevices.
I have a steel bike and I use full fenders to protect the components - so far so good. My friend who rode without fenders had to replace his crankset after just one winter, and has since switched to using fenders. I think they make a big difference in protecting your bike.
You'll have to lube your chain a lot more frequently than in the summer, particularly after a heavy snowfall when the chain's dragging in the snow. I learned my lesson on a fairly cheap bike that I left outside all winter - it was rusted like crazy, and I had to replace the chain, despite not even using the bike.