Look for signs of life in the snow. You may not be excited to go outside when it's freezing cold and the snow is ankle deep but this is a very fun time of year to see who is out and about and where they are heading.
You can find a simple tracking book that will show you all sorts of common wildlife tracks and what to look for. It's surprising how much you can tell about what the animals in your neighborhood are up to when you start observing their foot steps.
In my backyard I observed deer tracks leading up to the apple orchard and when I looked closer I saw they were nibbling on the tips of the trees! Now I can take preventative measures because I know which direction they are coming from and their most common routes to get to the orchard.
I also observed rabbit tracks going around the front of the house and down the side to the back. It looked as if it crossed the driveway and hopped along the side of the barn. Why does it keep close to the buildings I wonder? Does it have a burrow nearby or was it just passing through?
My bird feeder provides lots of clues as to who is coming around. Bird prints, squirrel tracks, rabbit tracks and deer tracks. Who knew the feeder would be such a popular meeting place?!
The best time to go out is a few days after a light snowfall. The snow won't be too deep for the little animals and it will give you a few days of accumulated footsteps to observe.
Types of things to catalog:
Draw the animal tracks you see and identify them
Create a map for each type of track
After each snowfall do it again
Did you find any burrows?
How many of each animal might there be? One? A family?
Record the date and how much snow you got
Don't forget to bundle up! I often take mental notes of what I see but you could choose to bring out a pencil and paper to take notes (a pen may freeze up if it's really cold).