You need to research each place individually, looking at actual, day-by-day data over a period of years. Looking at monthly averages (found in the Wikipedia entries for cities) isn't enough. Averages hide extremes, and it's the extremes that can be uncomfortable. I do find the precipitation data on Wikipedia useful. The temperature averages I use just to compare multiple options to see whether is likely to be better than another.
For actual, historical, day-by-day weather statistics I use timeanddate.com.
Weather London --January 2023
Use the pull-down box to change the month and year displayed. Use the Search box at the upper right to change the city.
A general comment: The shortest day of the year falls in late December. Weather varies from year to year and from place to place; that (the length of the day) does not (assuming we're speaking about Europe). Even in Rome, and even in February/March, the days were quite short. It bugged me, but lots of folks enjoy major cities all lit up in the winter.
For me, early spring would be vastly better than winter, though still much too early for me to want to be in the northern countries.