The windigo's (according to Clover The Clever, played by Twilight in "Hearths Warming Eve" season 2) are winter spirits that feed off of hatred. The more hatred they feel, the colder it gets.

Because of the fighting between the earth, unicorn and pegasi tribues during the founding of Equestria, the windego's begin a long snow storm, which doesn't end until the three tribues are united together in harmony.