We love Dawson's fat-free/sugar-free yogurt, but their hours in the winter seem totally random. Shades is pretty much always open. We hang out at their bar a lot and watch sports (just look for a non-monogrammed Louis Vuitton). C'est moi! LOL. Cafe 30-A seems to do a good business year-round. And One Seagrove Place always seems to be hoppin'.
We use our outdoor spa year-round. Crank it up to 100 degrees, and it heats up quickly. The pool takes too long to heat in the winter. Actually I'm surprised we don't get more rentals in the winter because you can get in the water at our house year-round. We love to drink champagne at midnight on New Year's Eve in the spa.
Basically if you have a place with a view of the Gulf, it's nice to just sit inside, watch TV or a DVD or do paperwork, and enjoy the view, no matter what the weather is like.