I would say the Algarve in Portugal. It's a warmer climate, pretty much as far south as you can get. Even though it's January the beaches there are great for strolling along. The best part is you will see more of the locals then you will the tourist crowd since it's a hot spot in the summer. I went early spring and loved it. I got a room in a shared apartment for 13 Euros a night. I've heard it's even cheaper than that. Nobody was on the beach when I went so I could just walk around and explore without trouble.
I really suggest going there and don't worry about accomodations there will be someone to meet you at the bus stop I'm sure.
First, have to ask: What winter activity would you like to indulge in? Skiing? Skating? Ice-fishing? Snowmobiling? (YES!!!) During winter, road travel can be hazardous, so mobility will be somewhat restricted. Once you arrive at a town/resort, you may be restricted to that locale for some time. Recently a group of friends of mine went Dog-Sledding. No skills needed. No age-limitation. Just sit down, and cling-on. Available in many Canadian towns (or rather, out-of-town).
I agree with Japan. New Zealand's great too. I just wonder how the winter conditions are in Finland. I watched a documentary and it seems like it's too chilly bordering on dangerous for people like me who's used to tropical weather to survive. I'd still want to come visit though.