It's very cold here too. Can't wait for summer!
We just signed up for a Diaper Gym class. It's every Friday for 40 minutes at our local high school. It includes climbing, jumping, running, bouncing and balancing. Skills also will be taking turns, coordination, self esteem, self confidence, problem solving, following directions and learning to work with others.
I would check to see what your local community and library offer. We're always going to library events, including story time and attending a music class
www.little-folks-music.com and that was physical fun.
I also like Mymo's Adventure Fitness DVD's. We don't have the DVD, we just get small samples of it from cable.