I am a turtle~neck and sweater kind of girl. This is what I feel most comfortable in and wear most days during the winter. It is also quite warm. If you don't like turtle necks (my girls don't!) cami's or shells are great for layering.
During the winter, I most often wear a denim skirt. They are heavier than my cotton skirts, and therefore warmer. These are also the skirts I love wearing as they are comfortable, and anything matches with them. I also have a denim skirt that is floor length for warmth during the winter (my absolute favorite skirt!).
Corduroy skirts should also keep you warm. I don't own any, but I love this skirt from Deborah and Co. This skirt is on clearance right now for a great price! Sadly, they don't have my size or I would be ordering this skirt!
Tights or leggings are a must during the winter. I don't care for leggings, but my girls do, and they wear them under their skirts. I prefer tights, and have found lots of colors and styles out there. They are comfortable, and keep your legs warm if you are going out. When I am at home, sometimes I wear a pair of wool socks over the tights.
I also have a long coat to wear when I am outside. This helps keep my entire body warm, and cover's most of my legs as well.
Wearing skirts is what I am most comfortable in since I've started wearing them. Winter in Wisconsin doesn't have to stop that!
Have a great day!