You can visit Rajasthan if you wanna escape the North Indian winters. Else, if you love snowfall, you can visit Himachal. If you're a beach person, then Goa is the perfect go to place! The rest depends on your budget. Good Luck :)
You can Travel anywhere except High Altitude places depending on your interest like for Forts, Museum and Desert Rajasthan is best, for Unique Experience Rann Utsav in Kutch Region of Gujarat is considerable, for off beat places Rural Chhattisgarh State does not disappoint you. So according to your interest, no. of days and budget you can decide the destination.
Well, certainly some of the hot places will be a good idea to visit in Winter. But visiting North India is even more fun. I went to Auli, Uttrakhand to celebrate New year. It was such a beautiful experience, because if you are travelling with your family/friends, it's even more fun to come back after traveling and spending a cold night by playing games and gossiping. You can experience snow fall and the snow capped mountains is one of the best feast for your eyes. Most importantly don't forget to have fun. :)
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If you like extreme cold and peace, Go Himachal on the Spiti and Kinnaur side.
If you like cold with fun, Himachal Manali side.
If you like nature, Go North East.
If you want beaches, explore Maharashtra, or south.