It's easy to forget to check your car's lights when it's too cold to poke about outdoors. Nevertheless, it is illegal and dangerous not to have a fully operational set of lights. Each external light on the vehicle must be clearly visible. If one is obscured by snow, you can receive a fixed-penalty notice. A quick once-over with a rubber-bladed scraper or a cloth makes you safe and legal again.
Check that your headlights are adjusted correctly. Most cars have a dial or control on the dashboard. Many also have dashboard warning lights that show bulb malfunctions. Even so, walk around the vehicle once a week. It's easier to check rear lights with someone helping but you can determine by the reflection on, say, a garage door whether each light has come on when selected.
Look for cracks or chips on the lenses - if damp gets inside the casing, it could reduce the light output or cause bulb failure. Tap each light, or cluster, with the flat of your hand, to see if it flickers. If it does so, the bulb is on the way out, or you have a dodgy connection.