I use flies that I have tied. Usually small (size 10) with a chunk of night crawler. Black seems to be the magic color during the deep dark winter months. a bright orange bead seems to help as the season wears on. Tying my own jigs/lures is incredibly gratifying and humbling at the same time. It stinks when your fishing buddy is catching fish on the new great jig that he just bought at the local sporting goods store, but there is nothing more gratifying than catching fish on a fly that you worked hard on during the "off" season.
I can't believe that nobody has mentioned the super deadly ACME kastmaster. I have caught more trout on that lure than anything I have ever used. It is my secret weapon when my flies are not catching the fish.