Icicles are a feature of any real winter, from the sides of houses and skyscrapers to tumbling down cliffs in spectacular cascades—and are spectacular to photograph.
As the ice gets thicker, you may notice that it takes on a distinctly blue-green tinge, a color which you may want to emphasize with a high color saturation filter. However, remember that ice is mostly clear: icicles will take on the colors and hues of their surroundings, which can work to your benefit. Think icicles over a window refracting the light from a Christmas tree inside, or the bright colors of a sunset.
Icicles are sometimes difficult to focus on: digital camera software is often confused by what the subject is, the surface of the icicle itself or the background, so manual focus might be a good idea.