In my opinion, at this and higher latitudes it’s the stretch from mid-November through the winter solstice. Right now, in other words. The days don’t just get shorter, they spiral down into darkness, with twilight arriving at 3:30 or 4 in the afternoon.
On the positive side, when the solstice comes around, it’s a real pleasure to see the days getting perceptibly longer right away — it’s obvious, in that context, why so many high-latitude cultures have got a “Hey! Wow! The sun came back!” holiday scheduled for that time of year.
(The coldest time of the year is something else. Around here it’s mid-January through mid-February, and I don’t associate that season with darkness, I associate it with the kind of bright, cold sunshine that you only get when there’s snow on the ground and the temperature is somewhere well below zero Fahrenheit. Beautiful weather, but absolutely pitiless.)
..what does this have to do with writing? Not very much. Except that I find it hard to concentrate on fiction when my feet are cold.