Walking in the winter was exactly what I was looking for - the solitude, fewer people, the weather and other pilgrims I met along the way made it a very memorable trip.
I experienced every type of weather imaginable: thick fog in the Alto de Perdon (got a bit lost because I couldn't see a trail maker 5 feet in front of me); a half day of rain leaving Burgos, sun on the meseta, clouds for a few days outside Pamplona, very strong wind after Santo Domingo. I stopped walking on Christmas day. I woke up to about 2 feet of snow on the 26th. I took a train to Leon and it was a white-out all the way. It continued snowing all day and the cathedral covered in snow was amazing. It had not snowed that much in years in Leon, and the Spaniards were enjoying the snow - lots of snowballs, snowmen and cheering when someone's car was pushed out of a snow bank. I was never really cold - walked with five layers and took them off and put them on as appropriate. I carried a 20 degree sleeping bag so even if there was no heat in the albergue, I stayed fairly toasty.