Not much for me really. Sitting inside watching the rain coming down in buckets imparts a kind of romantic sensation to myself somehow. Then when the rain lets up later on during the day I feel a bit of disappointment. Falling snow and drifting snow I enjoy watching too but not as much.
When I had to go and work outside in the cold and rainy days day after day for weeks in winter would get to me.
I don't have depression in the winter, but the end of September and the beginning of October is the worst time of the year for me. It's spring where I live. I'm allergic to pollen.