Last winter I had clips and straps, working in awkward conjunction with boots. I guess the key is to find yourself a pair of winter boots with a relatively small toe that can fit in a clip. I don't know from clipless, but I know they make those insulated booties that go over bike shoes, so you could wear thick wool socks, clipless shoes, and booties (and maybe some galoshes with a hold cut out of the bottom) and probably stay pretty warm & dry.