Actually (from my limited comprehension of the topic) winter mix on fuel is actually higher in energy. The summer mix with ethanol is less efficient. MrCrowley hit the nail on the head with less efficiency of the machine in the cold environment. The only other factor that I can think of is additional rolling resistance from road conditions (wet or snowy roads).

You can play some games to attempt to recoup the loss but I doubt they will pay for themselves. Lower viscous fluids will operate more efficiently at low temperatures (better off using synthetics year round tho as they are effected less by low temps). A block heater will help on start up but won't make any difference after the engine has reached operating temperature. The one thing that would make the biggest difference is checking air pressure often. During winter when the temperatures swing dramatically, your tire pressure will be significantly effected (2-3 lbs probably). Try inflating your tires during the coldest part of the day to the lowest pressure you would like to run at (say 32 psi). Then in the afternoon the pressure should still be in the safe zone but a more optimal pressure (say 34-36 psi).