You can, of course, knit your own hats, scarves, mittens, etc or sew your own winter items. Maybe I'll cover some of that stuff later. Right now, let's look at shopping!
You can't do much of anything in the winter if you don't have a good winter coat. Morellos offers a bunch of styles for men and women. Below is a few that I personally like. Aside from coats, Morellos also offers a TON of lovely trousers for men and women.
Freddies of Pinewood Website
Winter lends itself to more pant-friendly attire. I highly recommend Freddies because they have a great selection of denim and trousers for both men and women. They also have some great sweaters.
Rocket Originals Website
I have sweaters from Rocket Originals that I love. They switch them up every so often. They also carry their own line of footwear.
On The Sunnyside Website
This is a great store for men. They sell trousers, shirts, vests, and ties for those loving the 20s, 30s, and 40s.
Walk Over Shoes Website
Need some new day-to-day shoes? This place has mens and womens with vintage flair.
Annie's Poodle Skirts
When I wear a dress or a skirt in the winter, I prefer it being made from a heavier fabric. If you aren't making your own skirt, I highly recommend a felt skirt.