None.

I use clipless precisely to avoid the matter of my feet slipping off the pedals. I used BMX platforms my first winter and my shins and calves were constantly black and blue from my feet sliding off the pedals and getting whacked.

There are three issues that people imagine to be a problem with clipless in winter.

1. The cleats clog up with snow and ice, so you can't clip in. I've not had this problem in three winters of riding clipless. When the type of snow is such that it may get stuck in the cleats and treads of the boot, I just tap my foot sideways against the pedal before clipping in--in much the same way you tap the snow off your shoes when getting in the car or going inside the house.
   
2. The metal cleat acts as a heat-sink, sucking warmth from your feet. I suppose that could happen if you use regular cycling shoes. Every model of winter cycling boot I know of has an insulated sole. This, coupled with insulating insoles, eliminates the potential for the problem.
   
3. You can't clip out to put your foot down to prevent a fall. Nonsense. That's not an issue in the three-seasons, why would my ability to unclip be reduced in the winter? Besides, the studded snow tires keep the bike from sliding out from beneath me.

YMMV, but that's been my experience here in R-town, where in January and February, temps seldom rise above the teens and it snows at least an inch or two every single friggin' day, above and beyond passing snowstorms.

EDIT: The shoes I use are Lake MXZ302 and run the same Shimano A-520 single-sided "road" SPD pedals all year long. (Although that winter I was talked into trying M-520 double-sided pedals. I hated them.) I was asked in a PM about the jacket too. That came from AlertShirt.com. I like their stuff, but the jacket is cut for… erm… portly backhoe operators, not svelte cyclists.