What I would build depends on location, tools and materials available, etc. Friends and I have put up a few benders, some quite large. With breathable canvas for the sides, and the tops covered with clear plastic for solar gain and waterproofness, they're comfortable and light inside. A woodstove will keep them very warm and dry all winter. Haven't tried it yet, but I think one covered in the shrink-wrap that boats are stored with might work out nicely.
Here's a 10' x 11' dugout I built as a chicken coop. I've often thought that with a woodstove it would be a cozy little cabin. You wouldn't have to worry about falling trees on windy nights, and your things could be made fairly secure from theft, which has been a problem with even my most hidden shelters. But it was a lot of work:
Once started a shelter by pounding stakes in the ground, weaving saplings between them, and covering them with mud from a beaver pond. It was turning out nicely, but the weather turned cold and I got lazy and never finished it. I think that mud is a good building material that's often overlooked, though.
A surplus military tent might be the best option of all. With a woodstove, a cot and some shelves, it's essentially an inexpensive cabin that can be put up in a couple hours. Spent a Korean winter in one when I was in the service, and the only discomforts were that it was chilly near ground level, and it was difficult to sleep when the wind was blowing hard.