Lawn chores don’t cease for winter: prune your trees (but not all of them!) in late winter.
The benefit of pruning [many of] your trees in winter is it reduces the risk of the spread of disease and/or insect infestation. Open wounds will quickly heal during new growth in spring. Remember to always destroy the trimmings as they may contain spores which can cause re-infestation.
Many reasons to prune:
To shape a tree. This is not necessarily for the health of the tree as much as it is a visual prune.
Strengthen the tree:
Removing dead, dying or sucker branches will help the tree stay healthier as nutrients are not being directed to undesired portions of the tree.
Prune your flowering trees & shrubs after the blooms begin to wilt in spring.
Arbor Day has a great interactive guide that offers more information, tips & techniques: http://www.arborday.org/trees/pruning/animation/launch.cfm