Studying weather with preschoolers teaches them observation skills, new vocabulary and science concepts like patterns of weather. You can introduce your child to the scientific practice of documenting observations if you set up a system to chart weather changes over time. When the weather is below freezing, blow bubbles & catch one on the bubble wand. Ask your child to predict what will happen (it will freeze like a crystal ball and then shatter). Go on a nest hunt. With all the leaves off the trees, nests are much easier for children to spot. Look high and low for bird and squirrel nests. Keep count. How many can you spot in your neighborhood, the local park, or on your center grounds?
For more winter science activities: http://www.pre-kpages.com/winter-science-activities-for-preschoolers/