Well, I teach skiing in the winter (I live near Lake Tahoe, California). That really helps me from going crazy in the winter. I get to exercise outside in the sun nearly everyday.
The roughest time for me is November. Not enough snow to ski but usually enough to shut down the bike paths. And the early sunsets make it difficult to get out before dark. I'm going to go to Ecuador this November to avoid the problem altogether :-)
I would think there'd be some sort of outdoor exercise opportunities in Nova Scotia (cross country, snow shoeing, ice skating, etc). I guess short days are probably a big problem.
A lot of my co-workers play in a broom-ball league (kinda like hockey but no skates). It's held at an outdoor, illuminated skating rink. It sounds fun and it doesn't require very much equipment or ice skating skills. Maybe something like that is available?
Or perhaps winter could be a good time to learn an indoor sport. Martial arts or raquetball. I'd probably do that if I wasn't skiing.