I tried all sorts of weight for the winter. Since I actually used my bed a lot, I wasn't satisfied with things like sandbags and the like which took up valuable space.
So I used bags of lead shot. They stay put pretty good on a rubber bed mat, they're compact, and weigh 25# each. 'Course, I did have about 10 bags just laying around taking up space when I decided to use 'em...
Good tires are a must though. I tried running mud tires on my Ranger and it worked great for deep snow, but sucked on hardpacked snow or icy conditions. With chains wrapped around 'em, I could go anywhere, my 2wd was like a tank. But that only works when there is a lot of snow around, you'll rattle your teeth out on dry pavement. Mud tires perform best with minimal weight in the bed, oddly enough.
I did try an aggressive AT tire one winter, it was almost a mud pattern in tread design, but billed as an AT. With around 200# of weight in the bed, it went surprisingly well as long as I was easy on the stupid pedal. And it would bite hard enough that it was about impossible to do doughnuts.