The snow doesn't crunch under your feet on the treadmill. The air doesn't sting your lungs. There is no thrill of knowing that you are relying on your wits to get you through the run & safely home. Treadmilling has it's place in my fitness plan but when you get right down to it, when I run on the 'mill I feel like a giant hamster on an excercise wheel.
If you're lucky enough to run after a snowfall, you can learn a lot about your fellow pedestrians. You know who the dog walkers are, you know who the power walkers are. You know who has the balls to get out even earlier than you when its ten below, and you know who the tourists are. You can see who needs to work on shortening their stride, and you know who has a heelstrike problem. Even better is if you come back the same way that you came, you can see if one of those people is you.
Best of all is when the other tracks vanish and you are traveling over virgin snow. For just a brief moment in time you are the first person to have traveled here. It's of course an illusion to think that you're the first person to have ever passed this way but the snow makes that illusion complete; it's the closest that most of us will ever come to leaving our footprints on the moon.
The experience of crossing over trackless, newfallen snow in a small way summons upon the innovative & pioneer spirit of America that is so conspicuously absent from our 21st century culture. When I do so I feel connected to the past greatness of my ancestors, and that is why I like to run in the dead of winter.
That plus it's totally badass.