I've heard folks say to hang a cabbage so they can peck at it. I stuff chunks of summer squash, apples, cabbage and stale bread in suet feeders (the kind for wild birds) and hang them at different heights. There are treat balls you can buy too - fill them up and put them in the coop. Mine also have a swing in their run which they love, and since the run will be covered with clear plastic (ala greehouse) to gain solar heat in there and keep most of the snow out, I anticipate that they'll continue to use it. If your run is winterized, putting a dirt bath bin full of sand or plain old dirt will help. If you have room in your coop, put it in there.
One thing to remember is that they sleep almost as soon as it gets dark, which means their hours for "boredom" are less than in summer. That helps. Happy winter! It's my favorite time of year!