My husband and I spent 2-3 hours wandering around the frozen lake in the winter. It's very beautiful, and if you walk down onto the lake and by the shore, even more beautiful. I can imagine that not everyone would have so much fun, because there aren't any really great trails. But we just enjoyed climbing up on some rocks and looking around. Plus, it was completely deserted, which is a nice break from bustling Banff and the ski areas.
To dispel some rumors, the nice bathrooms are indeed closed in winter. But the outhouses are still available, so a bathroom with walls, a toilet seat, and toilet paper is still an option :)