We have read that plants can thrive in wintertime if housed in something called a cold frame, which if you ask me is sort of a small greenhouse. It needs a glass top and some reasonably wind-proof sides.
We do not have any spare windows around to put over the top, but I would like to improvise something with some old clear plastic we have hanging around. If we work at this and it produces lettuce or some other edible vegetable, that would be fine. If we work at it and get nothing to grow, it will still be a worthy experiment. The question is always how much effort we will make.