The Mitten by Jan Brett. A wonderful story and she has a great webpage to support her books as well (link below). Best read one-on-one so that your child can see all the details in the illustrations, but works well with a large group too.
Under my Hood I have a Hat by Karla Kuskin. This is a great introductory story for toddlers talking about cold weather clothing in a fun, lighthearted way. The term "muffler" is used for "scarf", so that might need a bit of explaining, but it's worth it!
Froggy Gets Dressed by Jonathan London. Most young children LOVE Froggy! Froggy plays soccer, plays t-ball and even gets his first kiss. There are numerous books, including Froggy Gets Dressed where Froggy wants to get out and play in the snow instead of sleep, but he keeps forgetting some item of clothing. Definite hit since you get to say the word "underwear" - that always is good for some giggles.
Smitten by David Gordon. Cute story about a lost sock and a missing mitten who find each other and decide that even though they do not match, they make a great pair.
A Mountain of Mittens by Lynn Plourde. If you have a school age child and live in a cold climate, then you know mittens go missing - frequently! This fun story takes an amusing look at loss mittens that will surely get some knowing chuckles from older kids.
For a craft, I used the mitten illustration found on Jan Brett's website: http://www.janbrett.com/put_the_animals_in_the_mitten.htm. Now, I thought the adorable animals included in her craft might be a bit too much for the preschoolers, so I did not print them off. That was a mistake!!! After hearing the story, the children wanted animals on their mittens! Thankfully we had a copier near by and animals were made available for them to take home and color. To decorate the mittens, I simply laid out various craft supplies and let the kids go. They made some pretty awesome mittens! Here are a few of them: