Yeah, it's definitely more work to ride in the winter. I've certainly noticed that my wheels don't spin nearly as freely as they do in the summer. Chain lube doesn't work as smoothly. Denser colder air means more air resistance, and it's harder for your lungs to absorb oxygen. More energy is being devoted to keeping your body warm, rather than propelling it forward.
But look on the bright side: Come spring, you'll be stronger than any of those weenies who hang up their bike in the winter!