It's a personal preference.
I could drive my M3 all winter and I think it would be plenty capable and loads of fun, but I personally don't want to subject it to the salt, hidden potholes, etc. that are inevitable with winter driving.
I have a 2010 TDI Golf that I'll be driving this winter. It's a great car, very comfortable (supportive heated seats, satellite radio, etc), easy to maintain and has returned a 43 MPG lifetime average.
I've had it for a few years now, so I'm thinking about selling it in the spring to get something different for next winter. If I do, I'll get a Subaru Forester with a manual transmission or some sort of full size SUV (Maybe a Touareg). The idea is to get something that contrasts my two summer cars. I'd love an STI/Evo, but they're a bit too expensive for me to use as a 'winter beater.'