Hot alcoholic beverages are my favorite way to warm up in the winter. They make you feel warm and fuzzy just like regular cocktails, while simultaneously phsyically warming up your hands, etc. And I've become especially fond of Hot Toddies, a classic drink typically made with whiskey, hot water and spices.
Its feel-good factor is surpassed only by hot buttered rum, but that's a lot less common on cocktail menus (though Mouton does a great one with house-made spiced butter).
This particular drink is the Rossi Toddy, made with Oyo Whiskey and garnished with a cinnamon stick and a honey stick you can squeeze in yourself. Fun!
Another Toddy well worth ordering is Bodega's. They mix their super-strong twist on the classic with Watershed's Bourbon Barrel Gin, which I prefer over their original Toddy recipe, served with a lemon and a bag of tea for steeping. Beware, though: hot drinks seem to disappear much faster than their cold cocktail cousins.