If the weather is tolerable enough to be outside, take your dog to one of many of the state's designated dog-friendly trails or parks. There are numerous choices littered throughout the state and when dogs get holed up inside, they usually have a lot of energy to burn, making getting excise, on-leash or off, a great solution as long as you're both properly bundled.
Although it's sometimes hard to find places to go out of the house that will still keep you warm inside, consider going holiday shopping. Plenty of big chain stores are dog-friendly if you know where to look. Just make sure to call ahead to find out that it's okay in advance.