I'm in Saskatchewan and our winters can get pretty darn cold at times. My coop is insulated with a small south facing window but it has a lot of age on it now so Husband and I are in discussions now as to design and construction of the replacement coop. I have two heat lamps set up in the coop - during sunny warm days, lamps are unplugged and one/two plugged in at night time; on the really cold days one lamp is plugged in during the day and the second one at night time.
I use a heated pet drinking bowl for their water so they always have access to water - you can buy a proper heated chicken waterer but I like the pet one as it is inexpensive to buy and easy to clean. I feed free choice layer ration and wheat along with oyster shells. I use straw for bedding but am toying with the idea of trying shavings for this coming winter to see if it makes a difference in cleaning up.
Normally I collect eggs once a day but on the bitterly cold days I'll check at least a couple of times during the day because the eggs will freeze and crack otherwise.
During the day, the chickens will hang out on the floor eating, drinking and having little squabbles. At night they all roost, sitting beside each other. My chickens will go outside on nice warm days in the winter. They prefer sunny days with little wind for their outings.
As other posters have mentioned, some breeds are more winter hardy than others. If you get the breeds with the large wattles and single combs (like Leghorns) you'll probably end up with frost bite.
Space wise, I think you're meant to allow 2 sq ft per bird. My coop is approx. 6x8 and I've got 12 birds in there now and I like it for size - they've got room to move around but not so much that it's hard to keep warm.
As egrogan said it is fun having chickens. I'm particularly happy watching them roaming around in the yard in the non winter months plus eggs are a very nice bonus.