I had the opportunity to go to Pewits Nest in the winter and I am SO GLAD I did! This little diamond was unbelievable! The very small pond area at the bottom area of the glen was frozen over, the little waterfall was still active, and we had a straight shot sight through the little glen from a straight on point that you wouldn’t get in the summer. It was incredible. We also hiked up and over the glen and got to see down into it and we climbed down into the stream area, to get a straight inside perspective (some areas the water was frozen.. mind you some were NOT so be careful!)
Small tid bit of information from the following website: Pewit’s (sometimes known as “Peewee’s” nest) is natural gorge cut by a small stream called Skillet Creek. The link will show you how to get there and a few pictures. Going here will be a short visit but I think it’s something you should incorporate into your Baraboo/Dells trip if you are in that area: http://www.devilslakewisconsin.com/information-center/other-natural-areas/pewits-nest/ .
Good luck, and happy hiking!