my best guess as to why your not getting as good MPG in the winter is that all of your fluids (oil, trans, and anything else that lubs moving parts) is cold and thicker, therefore it's taking more energy to move them. Theoretically the denser air should make you get better mileage, but I don't think that's happening with everything else working against you.
Personally, I'm just thrilled when my truck starts each morning =P I'm a little worried that I'm going to wear my starter out in this cold weather...