Instead of going out, find a recipe you both really want to try, get the ingredients and make it together, then eat in front of the fire with a blanket and candles.
Go to a Spa
And sizzle in the sauna! Check local spa's package offers where you can use the facilities for a few hours and get a treatment or two as well.
Go See the Decorations
At Christmas time, go and get hot chocolates then go and see the town's decorations and maybe try some ice-skating.
Get Some Winter Sun!
If you can afford it, go away somewhere hot for the weekend. It's so nice to get away from the cold and drizzle even if it's just for a few days!
What kind of dates do you like to go on during the winter?