I have started to use my daylight/wake up lamp as the days start to get shorter. I have one from Philips which is a light but also an alarm which simulates a sunrise so you can wake naturally when it is still dark outside. I believe this method of waking in the dark winter months is beneficial to me and other friends in Scandinavia agree.
It is important to read about SAD (seasonal affective disorder) and these lamps before you invest in one as they are generally not cheap. This website from the SAD organisation is very useful and provides a lot of good advice about SAD and the lamps – it is well worth a read to understand the issue more.