Higher quality parts will fare better in inclement weather, but will also cost more to replace when they finally succumb to the elements. Out where I live they salt the roads till they're white so I imagine it is as bad here as it gets. Usually, I'll just lube everything up (cables, etc.) before the first snow, and then just keep lubing the chain throughout winter. Usually the derailleur seizes, so I just use my bike as a one speed. Come spring, I'll repair the damage.

My wife's free-wheel on her wal-mart bike seized too in winter. Rather than upgrading it, we just bought new. I've had good luck with shimano cone-and-cup hubs, although if you really want weather proof you can always invest in cartridge hubs. I have Shimano hubs front and rear, a cartridge bottom bracket, and a Shimano Deore derailleur, and my bike is going into its tenth winter now with minimal problems.

I also wash down the frame every few years and put on 3-4 coats of turtle wax. This does wonders for keeping grime from sticking to the bike (everything just brushes off), and the paint still looks like new.