Pictured Rocks (piro) is one of my favorite places to go. In winter you can camp anywhere your heart desires -- but, be forewarned: most roads to popular trailheads are not plowed so you have to hike to the trailhead and then to where you're going, which can add a lot of extra miles (7 in this case).
Anyway, logged around 17 miles on this trip, 7 of which were breaking fresh snow in 1-3+ foot deep depths, so to call it a workout is a gross understatement. Snowshoes were a must, and ones with good traction for a few of the more technical sections were a good idea as well. You can avoid pretty much all potentially scary cliff edge experiences on the North Lakeshore Trail but those are where the good pictures come from. I kept finding myself looking at trees and slope features for self arrest options if needed but (thankfully) never had to use it.
Breaking fresh snow with the added weight of a pack is pretty intense work, especially depending on the snow type and flotation factors. Thinking it would be easier going I took my snowshoes off at camp and walked (slid) down to the ice river to fill the Nalgenes. On the way I managed to get into a waist-high drift that I'd walked over with the snoeshoes an hour before, and only sunk in ~4-5" previously. Moral of the story is not to underestimate your snowshoes.
Full pics are available here:
http://www-personal.umich.edu/~olmsnj/images/outdoors/pictured_rocks_0110/Petit Portal with some crazy ice buildup nearby.

Fairly common site: tracks on top of drifts like this.

Sandstone and snow.

Hanging out on top of Grand Portal Point. Nice thing is it is almost always windy on top of here due to the crazy exposure. You're on top of a sandstone cliff completely unprotected from Lake Superior from the West to just past North so it tends to get crazy.

"Indianhead" and lots of ice far below.

Crazy ice/snow mounds where the beach usually is.

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