The ones I've installed, I used a 25 year or better shingle because they're heavier and less likely to blow away until they seal in warm weather. It won't take too much sun to seal the shingles unless your roof is always in the shade. That's really the only minor 'concern' (for the lack of a better work) when it comes to roofing in the winter. If you went with a 20 year or lighter shingle, I'd be a little, little concerned. If you're worried that your shingles might blow off or not seal 'til summer, go ahead and put down a heavy roofing paper in case the shingle(s) blow off. This way, you won't get water in the house should this occur. (Roofs can be installed w/o roofing felt. The felt is meant to be used as a water barrier should the new roof not be installed the same day it's been taken down to the sheathing.
As an aside, as a general rule, no more than 2 layers of shingles on a roof. (Mostly for load bearing concerns as well as 'holding' concerns. Do check with your local municipality or someone who knows the code in your municipality.) If you can, install a layer of Snow and Ice Shield (or the like) along the eaves as a precautionary measure against ice damming. (That's if you live in this type of climate.) Install drip edge on the rake edges and eaves too. Your nails should go at least 3/4" into the sheathing. ON a 1-layer roof, a 1-1/4" - 1-1/2" nail is good.