While the Cape is normally pretty dreary in winter, it's downright pretty in the snow. If you can time a drive out there for during a good snowfall, you'll be rewarded. The south shore is a bit quieter (though, really, the whole cape is quiet this time of year), but the north shore will be a little better protected from the elements.
One problem: a good percentage of the shore points are private property. But some of the lighthouses have public access, and then there are the dunes out near Provincetown. Also, Sandwich has a nice catwalk over some marshes; that's a nice area to shoot in the snow, too.
Have a great trip.