As others have already stated the possibilities are endless, but cold weather gear (or at least long sleeves, etc.) would be appropriate for the canon setting. It also looks like they like to use a lot of lanterns, torches, and rope, judging from the Frostgrave Soldiers sprue.
While a winter-themed base would be appropriate, it should be noted that the official line of miniatures has their integral bases painted in a flagstone pattern without a trace of snow. It's probably just for aesthetic reasons, but I wonder if there will be expansions set within dungeons of Frostgrave in the future (I hope so!).