If there's more than a couple inches of snow on the ground, I attach ribbons. I tend to use fewer discs, just because I don't feel like attaching ribbons to 20 discs.
For me, the downsides are that wind is typically much stronger, footwork gets a bit more difficult and, let's face it, sometimes suiting up for a round in single-digits is not as pleasant as playing in shorts on a 72-degree day. But living in Michigan, those things won't stop me from doing something I love. The short days are a real problem, though; it's really hard to get a round in during the work week.
There are quite a few upsides. I love the isolation the snow provides. There tend to be fewer people on the course and being in the woods with a foot of snow on the ground is really peaceful; it feels like you're a world away from real-life. No bugs, no worries about poison ivy, less underbrush. And your sight-lines all open up.
My first experience playing was in the winter, so I think that has something to do with why I kind of like it.