Are we talking about Fragrance here or soap composition ?
A soap for me has to perform over any fragrance it may have, I guess I have around 12 to 16 winter favorites and they are in my current rotation and can be seen in my SOTD pics.
If we are talking about soaps that take care for your skin I find that shaving soap provides little protection for the face and tends to not leave much behind that is of benefit due to the warm water rinsing most people do after their shaves, Winter is a hard time of year on the skin, I find it tends to be very drying. The use of a balm (After Balm from the Stray Whisker is excellent) or Salve (I run with Chatillon Lux right through Winter) <cough> or indeed an aftershave that is adequately formulated with compounds that help soothe and protect your skin combined with a balm - it is these things that will best protect your skin in winter.
There are some good soaps out there, Barrister and Mann have excellent formulation with plenty of Shea butter and some trace Allantoin which assist during the shave however due to the warm water rinsing, and effort to remove all traces of soap, these compounds (aside from the fats/oils) will be ineffective for the most part post-shave as they need to be of a certain concentration and remain on the face for as long as possible i.e. contained in a balm or splash.