Depends on what is causing it. Drinking plenty of water helps as does taking warm showers instead of hot. If your heater is running a lot get a humidifier. Put lotion on with in a few minutes after getting out of the shower.
Moisturizing is a must all year round. So slather on the moisturizer as soon as you step out of the shower, to trap water in the skin. Washing your face is just as important as moisturizer it, but you've got to be sure you're doing it right. Scrubbing too hard can just strip your skin of its natural moisture, while some cleansers are way too harsh for the winter.
Check out the creams on www.lola-Maria.com they're actually amazing! Think its the Shea butter in them or something but my skin is really soft and nice now. They smell really really good too, reminds me of that shop Lush.