First, the very (but not necessarily all-inclusive)
basics:
Some places you hiked or biked three seasons of the year aren't accessible in the winter. For example, Rampart Range Road is closed from the Garden of the Gods to Rampart Reservoir. The road to the ever popular Crags Trail is closed just after the Mennonite Camp (and no, you can't park there, either. Respect their property). Also, some roads you may have driven with ease three seasons out of the year are not maintained in the winter, or at the very least see rare or sporadic maintenance. If the road looks sketchy to start, assume that it only gets worse later, because all the smart people just turned around before they got too far in. Getting your car towed in from the back country can be VERY expensive.