Candle Powered Heater
A metal can, candle and a heater can make an effective heater in the confined space of a vehicle. Much better than running your engine and eventually running out of gas. Also if your exhaust is blocked, that could lead to carbon monoxide poisoning.

First Aid Kit
Always a good idea to have a basic first aid kit that includes supplies like adhesive tape, bandages, plasters, small scissors, wipes, gauze pads, safety pins, antibiotic ointment  and pain medicine.

Warm Blanket & Extra Clothing
If you break down it may be a while before help arrives. A blanket and extra clothing would help you keep warm. Always a good idea to also have extra hat and gloves 

Battery booster cables. 
You’ll want these in case you wind up with a dead battery or you need to help someone else with a dead battery. 

Ice Scrapper / Snow Brush
A combination ice scraper/brush is a good idea to remove ice and snow.

Flashlight & Spare Batteries
A small LED flashlight with extra batteries. Good for  when it get’s dark.

Shovel
Digging out compacted snow from under the car or around the wheels is much easier with a proper shovel. 

Traction
A small bag of safety absorbent such as sand or cat litter can help your car regain traction if you’re stuck on ice. 

Tow Rope / Chain
Good for pulling you out of a ditch.

Emergency Food Supplies
Make sure you have a good supply of granola and protein bars and water to stop you getting dehydrated.

Matches/Lighter
(See Candle Powered Heater above)

Cell Phone Charger
A charger is a good thing to keep in the car, in case you phone battery dies.