I guess it would depend on which winch you have, and how element proof it is to start with. I just had to go through my Ramsey due to water damage. I'd love to give you some bull story bout how I drove it through a lake, but the facts are it got trashed while my rig was sitting on the trailer for a year.
I wont cover mine, because it's just a hassle I guess. Bad part is Ramsey (I'm not sure about Warn or others), wont sell small items like motor bearings or brushes, but they'll gladly sell you a new motor for about have of what that winch cost you. I think this is how they sell so many covers.
Good news is, as much as they like you to believe otherwise, it's just a freakin starter motor thats cranking your winch. Went to Generator Exchange, and they matched up all the motor parts for something like $12.