I've been using canister stoves more and more for winter - a Jetboil when temperatures are fairly mild, and an Optimus or Primus (can't remember and it's in the basement!) multifuel stove that has a hose leading to a remote canister (standard Lindal valve canisters, like those from MSR, Jetboil, Snowpeak, etc.) most of the rest of the time now.

Keeping the canister upside-down makes it work better in winter, even at quite cold temperatures, and using a heat sink pot and a windscreen, I get really good efficiency. I've personally used this setup down to -14°F and it has worked well for me and for a couple of groups I've been a part of who've done this together for melting snow for water.

Advantages include no messy fuel to deal with, no priming, no cleaning balky jets. I suppose a disadvantage is that there's less visibility into how much fuel is left in a canister, so I bring an extra safety margin and extra canister, but so far that's never actually been a problem. (I weigh the canisters at home to keep track of fuel usage and write the stats on the bottom.)

(I own and have used many stoves in winter, from Coleman, MSR and Optimus white gas stoves and kerosene stoves to many different canister stoves to even propane, sterno, and alcohol, and the remote canister setup is my favorite.)