Cooling down - and beware slipping!
Just as important as a warm-up is a cool-down after exercising; this should take roughly the same amount of time as your warm-up. During your cool-down, you should also stretch your arms, back and calves, which can help prevent muscle soreness over the next few days.
There's also the risk of injury from slipping in wet conditions, so you need to think about your footwear if you are running or walking. There are numerous types of trainer on the market which are specifically designed for running in wet conditions, but simple steps like running on roads rather than cross-country will also help. A solid pair of boots should help you maintain your balance if you are hiking.
Of course, as the nights close in you should also invest in some clothes which increase your visibility, while letting your loved ones know where you are heading and how long you think you'll be is also sensible.
If you really can't face exercising in the cold, wet and dark evenings, your local gyms will be happy to have you instead, or it may even be worth considering a treadmill or exercise bike for your home instead.