I would definitely recommend cross country skiing. There are good trails in several places in Wisconsin. I went to Kettle Moraine park when I lived in Madison and they have a lot of prepared trails. Shouldn't be too far from Milwaukee either if I remember correctly.
I of course also rode my bike year round when I lived in WI and in IL and in Norway so I don't see snow as a reason to stop riding, but I can understand people being a bit more cautious about it. If you want to keep riding, but worry about the ice, get studded tyres for your bike.
Another option that I really enjoy is ice skating. I know there is at least one good rink in Milwaukee if that is where you live, and probably many other places in WI too. Or if you find a frozen lake, that will work too.
