I live in Michigan and it's usually pretty mild here in the winter compared to other places in the country, but we can get some really cold weather, too. When I was growing up, every quarter horse my family ever owned grew a long fuzzy coat in the winter and stayed as fat and happy as they were in the summer. I never had to blanket a horse.
Then I got a thoroughbred!
His "winter coat" is about 3/4 of an inch long and he will just stand around and shiver without a turnout. I start blanketing him when the temperature drops into the 30s which is usually sometime in November. He wears a 100g lightweight turnout most of the time. If we have a cold snap or get a bunch of snow, he wears a heavier 300g turnout. The weather starts warming up in mid March and he is usually blanketless by April.