The only added enemy winter vs. summer is salt. So the only added protection relates to that. If your hubs have gone a long time without service you might service them as a precaution, but it's most important that you service them in the Spring to flush and replace any salt contaminated grease.

Other than that the only thing I do every winter is apply a bit of grease or anti-corrosive to the spoke holes in the rims. The rims were drilled after anodizing, so the wall of the spoke hole is an Achilles Heel. The cycle of wetting with salt water then drying leaves this area full of salt which will attack and weaken the rim causing premature fractures at the spoke hole. This is more of a problem with non-eyelet rims then those with eyelets, but even with eyelets it pays to spray some WD-40 or other thin oil and let it wick between the eyelet and rim. (Wash excess off the brake surfaces before riding---duh).

One other issue, though rare is chloride damage to the spokes. Some of the stainless alloys used for spokes are extremely vulnerable to chloride damage, which shoes up as black spots, and brittle fracture points. Unfortunately there's no way to prevent this, short of rinsing the spokes daily, and there's no sure to know whether your spokes are of a vulnerable grade until it's too late. In 40 years of riding I've only run into the issue once, but it involved 4 wheels, all built with the same spokes, all of which were total losses 100% spoke failure) after 2 years in Cozumel, Mexico.