I haven't mounted a rack to my winter bike and have been carrying a bag instead of using a pannier. I put one on a fairly light bike and did notice the little bit of extra weight, but I also started carrying more crap with me too, but I enjoyed the extra capacity. I'm using a messenger bag right now and it's bearable in the winter, but I don't like how it moves on my back and it likely weighs as much as my pannier anyway.

If I ever made my own panniers they'd be pretty lightweight I reckon... maybe a collapsible aluminum frame that uses standard sized dry-sacs. I guess I need to start tinkering a bit.