Take a walk by the beach - it's wildly beautiful in winter (make sure you rug up)
Go swimming at your local indoor, heated pool
Join your local YMCA or PCYC club - they run lots of group fitness classes for discounted prices
Go rollerskating or ice-skating - doesn't matter if it's raining outside
Find an indoor team sport to join
Find some good workout videos online like the BUF Girls one above.