Winter starts you in third gear for better traction in icy conditions and such. Only messed with it once, but I think it just blinks at you to show it is engaged (button doesn't remain lit, but I think winter mode is indicated on dash). I think you have to engage it while stopped, and that it disengages at a set speed (pretty low). Not sure if it will continue to engage after every stop and go until you press it again or not - would need to get my manual - I'm sure someone knows more about it offhand.

Power changes the shift points. In power mode you can get higher RPMs in each gear before it shifts to the next.