As is charactheristic for Central Europe, Prague gets very cold during winter. It is good to get a warm coat and bulk up on knitted clothing if you are not used to chilly weather.
On the other hand, Prague gets very lively with aproaching holidays. Muhled wine or »svarak« is offered on many squares with christmas markets, you can try ice-skating on one of many outdoor rinks and enjoy snow! If non of these suits you, there are always loads of festivities, parties and exhibitions happening in the warm insides.