I could see who buying all of the cookie ingredients would get expensive. And you'd have to be precise on the proportions too... otherwise the cookies wouldn't turn out right.
I Google searched "winter wedding favor" and a lot of snowflakey candles and candle holders came up. So, that's one option.
How about making small jars of homemade jam? Talk to your friends and family and see if anyone has fruit trees. My parent's plum and apricot trees are all ripening right now... heck, if you're in the Bay Area, I'm sure they'd let you pick from
their trees. They have too many! You could create a custom label too. I've also seen these done with fabric wraped across the top of the lid.

Or honey with a more winter styled tag:

Or, a little jar of hot cocoa? This image is cute as it looks like the jar has a scarf on. You could put some mini marshmellows at the top too.

This was kinda cool too. Pine tree or redwood sapplings. I have absolutely no idea where you could get them.

Bath salts made to look like a snow cone:

I'll post more if I can find them.