First, go to Trip Advisor, and ask the same question. "Vagabonda" will give you more info than you can believe. Her knowledge of the tourist info in Sicily is astronomical!
We have done Sicily several times. The train trip from Naples is beautiful...and 1st class is the only way to do it, but it takes quite a while, and the lo-cost airlines are almost the same price.
You can also do the overnite ferry out of Naples, and get a small cabin, but I don't know about doing this in the winter!
Have you gone to whichbudget.com and some of the other sites: http://www.flylc.com/directall-en.asp to check on lost cost flights? Air One is awesome also. There are many flights out of Naples. We usually fly into one city in Sicily, and out of another. We do the same with the rental car. ( a car is the only way to see Sicily.)
Staying in an Agritoursimo is another wonderful experience that shluld not be missed, but the TurkeyDay time of your visit may limit that.
We won't leave home without our Lonely Planet guidebook, and have found it to be "spot on" in Sicily.
Have fun! Sicily has so much too offer!