Do you own a home, or rent?  If you own a home, you can install a humidifier in with your heating/AC system.  If not, you will need a stand alone humidifier.  Either way, they work on the same principle.  In a stand alone humidifier, a fan draws air over and through a wick filter that is saturated with water.  This filter sits in a shallow basin of water that is replinished by a resivour.  The water in the wick evaporates into the air as it is moved by the fan.  The end result is that the humidifier takes in dry air, and puts out humidified air.  
Running a humidifier in the winter is a good idea because, in areas with cold winter climates, the air holds much less moisture than it does in the summer.  Winter air is very dry, and contributes to problems with dry skin and eyes, and causes throats and sinuses to dry out.  Dry air is also allows people to pick up static charges.  Moist air also tends to "feel" warmer than dry air, so you may not have to run your heater as much.
I have a stand-alone humidifier in my apartment that puts almost 9 gallons of water into the air each day.  Now, I have to pay for the electricity required to run the humidifier, and the action of humidifing the air (evaporating water) causes the humidifier output air to be cooler than the surrounding air.
I think that about covers it.  I would highly recommend getting a humidifier.  I run mine when the temp drops below 45 or so, and I think it helps keep me from getting sick.
Ryan