If your yard looks anything like mine... going out for a game of fetch or just a quick romp is not going to happen.
Here are a few ways to be exercising your dog:
1) Go for walks in town. Visit areas where sidewalks are well shoveled!
2) Walk around your local pet supply stores. Pet friendly, warm, well lit, it's a great way for rainy day or winter exercise.
3) Visit the metroparks. Most of the metroparks now have paths accessible. The bigger parking lots can also be sufficient for some exercise. When dog paths are non accessible, some metroparks will open other areas to dogs.
4) Play in the snow! Don't avoid it! Use your normal fetch toy and encourage your dog to find it in the snow. Use a lighted toy or a toy containing food if he's struggling.
Keep it safe, small dogs, elderly dogs, dogs with injuries, and overweight dogs should use extra caution in snow. Moving through deep snow requires more work and can result in pain or injury with any dog, but these groups are especially at risk.