Living in sunny spain for the last few years, I've forgotten what a winter bike is
that said, I did learn to ride a bike in the UK, and did have one for quite a while!
I think the main thing is mudguards (and a frame with clearance for them). they might look dorky, touristy, freddish, or whatever else you care to think of them, but they are absolutely essential. There is nothing worse than riding in cold wet weather and being soaked with cold dirty water thrown up from the wheels. this will turn a nice ride into a nightmare pretty quickly! They also mean a lot less bike cleaning, as it will generally avoid most of the muck if it has them fitted.
As for parts, well I always used to use the old battered stuff until it literally wore out, but that's because I was a skint student and couldn't afford anything better
Get something reliable if you can, as there's nothing worse than being miles from home (or anywhere else), in freezing wet weather, with a mechanical that you can't fix but that could have been avoided with better equipment!
And make sure you get a frame that allows the same position or very close to it as your best bike!