What are the dangers of open water swimming in winter? What do you do to avoid them?
You can wear a wet suit or a dry suit. When you first try it, have a boat go along with you, or swim very near the shore. You will likely want a hood, gloves, and boots.
If you swim unprotected in cold water, you can get hypothermia, you muscles can essentially stop working, and you can drown. It's not possible to generate enough body heat to maintain your body temperature when swimming in very cold water without protection.
The answer depends so much on where you are. Winter by the Mediterranean, southeastern US or Southern California or the like is no worries. Winter in the English Channel or in Seattle would be troublesome. Open water swimming where I live is not pleasant in winter.
Swimming in a dry suit defeats the purpose, so I assume we are talking wetsuit swimming. And in cold enough water you need a neoprene cap. Slightly colder than that, gloves and boots too. If that is not enough, don't do it for any length of time. Really, if you get so cold you can't get at least half an hour in, there's not much point in the trouble of donning the wetsuit, I'd say. That threshold is probably somewhere between 12 and 15 °C, depending on your gear and how intensely you swim to stay warm.
Assuming you stay away from hypothermia, which is a potential problem with prolonged exposure in any season as long as the water is not above 30 °C, I can't see there would be any particular hazards in open water swimming that are exclusive to winter. There are waves, currents, boats, difficulty navigating and so on in any season.
There are competitions where they make a 25 meter hole in the ice and have races, without wetsuits but with a sauna nearby, if you get really into winter swimming.
Also, I recommend something like this to stay visible: