I notice this around New England, too. I've never had issues with seasonal depression, and I attribute it to the fact that I love being outside in winter. Winter hiking is beautiful, and I'm a ski racer so I get really really excited when it starts to snow. A lot of people at school who aren't from the area approach winter with the "survival" mindset instead of the "enjoyment" mindset and they're generally the ones that have trouble.
I worked on a conservation project in Alaska this summer and the whole 19 hours of daylight thing was really weird. The sun never completely set, and I often thought about how dark and depressing the winters must be if the sun doesn't completely rise. I asked one of the Forest Service people on our project about it and she said that the winter was beautiful and the Nordic skiing was absolutely incredible. Her only complaint was that she went through headlamp batteries like crazy. "Enjoyment" over "survival"!!!