In reply to jhw:
I've wild camped in the Cairngorms in winter, but it's not something I've done for quite a few years now.
There aren't really any ethical considerations beyond what you'll do with your waste. The northern Cairngorms run a successful poo project:
http://www.ukclimbing.com/news/item.php?id=49686. In other area's you'll need to think what you do as the ground may be too solid to dig a hole as in the summer and anything left in the snow will eventually melt out.
There are other practical considerations, however. Like you said pegs can be an issue. The ground may be frozen or inaccessible under snow. Strong pegs and something to bash them in with can help. You can tie your guy rope to rocks or use bits of climbing gear to anchor it down. Axes can hold crucial guy ropes, on the assumption that you'll only be there one night. An other common idea, which I've never tried, is to tie your guy rope to a bag filled with snow, buried in the snow.
You also need to consider that it will be very cold in the tent. A snow hole is much warmer. The wind in winter can be much stronger than in summer. Also, if you're camping on snow then your body heat can make you sink into the snow overnight.
You often hear that in standard gas cartridges the gas mixture separates in the cold, making it unusable. The normal recommend solution is to keep the canister somewhere warm until you need it or use a petrol stove. This isn't something I've come across in my experience of cold places, but perhaps I've just managed to keep the cartridge warm.
I'm sure there are other practicalities to think about, but there's a start.
It's definitely possible to camp if you want to, but snow holing may be more practical.
Hope this helps,
Mehmet