I do most of my shooting in winter months. While we don't get as severe of winters as you do here in Illinois, old jack frost can bite us in the butt plenty hard from time to time.
I can't run a Glock 21 with thick gloves on. I have to carefully take the time to get my finger squished in to the trigger guard to avoid an ND and it makes me completely uneasy to do it. The only reason I've kept the H&K USP Tactical around is it was blessed with an
enormous trigger guard, which allows me use it with thick gloves on. I really hate the muzzle flip on that heavy brick of a gun, it is ungainly and slow in competition shooting, but it's great for cold weather.
BTW, if you carry, and wear gloves, you should practice shooting and clearing FTF's in those same exact gloves!!!! Clearing a weapon is not always as straightforward as you'd think with gloves on - takes a bit of practice to be able to avoid "pinching" glove material in the chamber or mag well, which would compound your problem, as now your hand is attached to a non-functioning firearm!
Anyway thinner gloves work fine with the Glock but I usually have two layers on when it's in the deep freeze part of the winter - thin insulating gloves on the inside and thick leather gloves on the outside. I simply cannot run the majority of my handguns with that combination.
If you're running a semiauto (AR, M14, etc) use a very, very minimal amounts of oil, or switch to a dry lube (teflon or silicon residue spray lubes). I've had over-oiled guns sludge up and quit running on me before, shooting in the winter months, even normally resilient ones, such as my H&K G3.
More important than a gun, though, is the other type of self defense.. against mother nature. I always keep a small kit in my truck with enough stuff to keep me alive and kicking for a few days - I also pack a bigger kit in my wife's truck, as she typically has one or more kids with her. Logic is, if power is knocked out for an extended period of time and we have to go somewhere, even a fully charged cell phone may not be any help.