this is always a burning question around the holidays. Most of the albergues listed in guidebooks will tell you they are open all year, but don't believe it. If enough pilgrims don't show up by a certain hour, often the innkeeper will just shut down and go home. (and even when enough pilgs are there to open, the availability of heat is sometimes questionable!) Best bet is to call or email ahead and reserve, if you can.
Also, if you get into town and find the albergue closed, and you know it is supposed to be open, ask around for the person with the key. They have little reason to hang out there when chances are no one's showing up -- but they will be glad to make you welcome if you speak up.