I think I will talk to my doctor about trying some Vitamin D supplementation in the next months. Generally I try to avoid supplements, but in this case I don't know what else to try.
Remember to keep them on during the _daytime_ only, though, to keep your body clock on the appropriate schedule!
Some people (including me) find that they stay indoors most of the time in the winter. Doing your workout outside gets you out there, which gives you not only sunlight (speaking of Vitamin D) but also a change of scenery that can cut down on cabin fever.
With the proper gear, the cold is tolerable (except maybe in extreme climates). And, especially if the exercise is vigorous, it's more tolerable being outdoors in the cold than it would be if you just went stood or sat around outside.
Just out of curiosity, did you work out regularly in a gym before taking those pills?