Vitamin D is what helps me avoid the "winter blues." I get my levels checked each October or November (and it's always found to be too low). Then I'm put on high dose supplements and feel like a new person. Getting decent sleep also helps immensely. I've also read that taking warm baths 2x per week can help against depression.

I remember reading before that the reason people decorate trees for Christmas is because it stems from what was originally a pagan holiday of decorating with lights around the winter solstice to try to combat the darkness during that time of year.