Originally Posted by fatbat

Wax stops lubricating when it gets cold, and treats your chain like rats treat a sinking ship.
A bit of wax lube on the downtube helps prevent snow from sticking, though.

Wet winter weather is hard on the drivetrain- check your chain often.

if you want your chain to stay lubricated, try phil's oil, or my personal favorite motor oil+50%odourless mineral spirits. apply that stuff liberally, spin the chain, watch the dirt and grit come out, and clean off the excess. If the rag is still coming up black at the end, repeat this process.

As for everything else- If you can fill it up with waterproof marine-grade grease, do it.
Fenders are a wonder for keeping gunk out of headsets and bottom brackets.
You can make a little mud guard for the headset and seatpost out of bits of old inner tubes.