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The moment it gets cold and the daylight dwindles, Nordic destinations such as Helsinki tend to fall off a traveller's radar. But having gone when the weather was miserable, I can vouch for the fact that the Finnish capital is a lot more fun than you might assume: the price is right, tourists are minimal and the cool temperatures offer the perfect excuse to find comfort in retail therapy and rich foods.

Here's how to do the off-season right.

Hit the shops

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Helsinki sits at the same latitude as northern Manitoba, but the Gulf Stream drifting over top means winters are actually quite mild: The average temperature between December and February hovers around -4 C, meaning strolling outdoors is usually more invigorating than painful. And if the mercury plummets, Finnish designers help you bundle up in style.

Indie outfitter Grape Station, for instance, sells organic cotton tuques by Petra Hankaniemi, who grew up near the Arctic Circle in Rovaniemi. The hats have a simple shape and come in on-trend colours such as mustard, with cute graphics of clouds, airplanes or mountains.

Internationally renowned textile company Marimekko is also based here, with a huge outlet on Pohjoisesplanadi, Helsinki's equivalent of the Champs Élysées. You'll find punchy, colourful winter dresses, as well as stylish ponchos, jackets and "blanket coats," which drape beautifully and are absurdly comfortable. Prices are steep, but the quality is impeccable.

If your toes get cold from store-hopping, head indoors. The Design Museum, a place devoted to all things mod, is in a beautiful heritage building that feels like the home of a 1950s decorating mogul. Walking through the permanent collection, Finnish Form, is a bit like stepping onto the set of Mad Men, with curvy glassware, pod chairs and Alvar Aalto stools at every turn. Stop by the museum shop for one-of-a-kind souvenirs by established up-and-coming designers.

Learn how to say 'kippis'

One way to warm up instantly is with a shot of vodka. And thanks in part to neighbouring Russia, Finland is drenched in it, meaning you'll hear a steady stream of glass-clinking and hollers of "kippis" (the Finnish equivalent of "cheers") at local taverns. The country has become a leading destination for ice bars – where you bundle up in a parka and sip booze out of a carved ice cube – but these have become passé (which is probably for the best).

A better way to experience Helsinki's unofficial alcohol of choice is to head to Juuri, a tiny restaurant downtown with fantastic cocktails, including a sea buckthorn cocktail that's essentially a facial in a glass: It features Finlandia cranberry vodka, Licor 43 (a liqueur packed with herbal and fruit extracts), sea buckthorn nectar (a Nordic berry with one of the highest antioxidant values), frozen cranberries and a sprig of mint. My skin was actually glowing after consuming this (whether because of the antioxidants working or the vodka, I can't be certain).

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Keep an eye out, too, for Koskenkorva, a vodka made from Finnish barley. The company's tagline is, "Almost the second-best vodka," which is confusing yet accurate after a few sips.

Get naked

Finns often strip down to their birthday suits when it's time to take a sauna or hot tub – and even a lane swim. Yes, one of the best ways to unwind while getting the blood pumping is to head to Yrjonkatu, an indoor public swimming hall built in 1928, with a pool that's surrounded by soaring arches, intricate tile mosaics and Juliet balconies. Days are dedicated to either men or women, and nudity is encouraged (bathing suits have only been allowed since 2001).

For $15, you can swim backstroke uninhibited in the balmy 28-degree water, access three kinds of saunas and relax in a private resting cabin. Don't forget to grab an espresso in the upstairs café, which overlooks the pool.

If the caffeine and exercise still haven't warmed you up enough, don't worry. You're in the land of saunas, invented by the Finns centuries ago. The tradition is still going strong: More than two million saunas can be found in this country of five million people, which translates into approximately one sauna for each household. Glance up at the balconies of Helsinki's apartment buildings and you'll often see "nests" that have been constructed for the residents to cool off in after an especially long sweat.

To make the most of the ritual, check out the new Kulttuurisauna ("culture sauna") on the waterfront, which should be open to the public as of next month. Designed by architects Tuomas Toivonen and Nene Tsuboi and built with sustainable materials, the aim is to create a space that stimulates circulation and discussion about the changing culture of Helsinki itself.

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Eat reindeer

Comfort food in winter is essential, and the best comes down to Helsinki from Lapland, where the staple dish is poronkaristys: stewed or sautéed reindeer with mashed potato and lingonberry sauce. It may sound like glorified Ikea fare, but when done right, it can be one of the best meals of your life. The creamy mash, the tart zing of the sauce and the rich, gamy meat form a perfect triptych in the mouth. And don't feel too bad for Blitzen; reindeer are plentiful here, raised on farms with plenty of space to roam.

With a long night ahead, you'll want to stay inside and keep eating. For a post-meal indulgence, try leipajuusto cheese, topped with cloudberry jam on a bit of reikaleipa, Finnish rye bread that resembles a large, flat doughnut. Chocolates from candy maker Fazer are a must for those who like to end on a sweet note.

If you go

Finland is one of the best places to see the Northern Lights – and autumn and winter is prime viewing season. The lights are expected to be at their peak in 2013 and remain particularly vivid for the next couple of years, due to the solar cycle behind the effect. Just don't expect to see them in Helsinki: The bright lights of the city block them out. Venture a little out of town and you'll have better luck; according to Visit Finland, they are visible in the surrounding area about 20 nights a year. The best time to catch the show is one or two hours on either side of midnight.

Where to stay

GLO Hotel Kluuvi, situated downtown near the train station, rents out complimentary bicycles and ensures each guest is greeted with a plush tiger on the bed at night. If the stufffed cat doesn't help you snooze, you can also request your choice of four pillow types, a heated mattress, an eye mask and a selection of short stories. Rates start at $179 a night. Kluuvikatu 4; 358-10-3444-400;

Speaking of stories, the Scandic Paasi – billed as the city's first "story hotel" – opened this month. Located in the bohemian Siltasaari area, its interior decor is meant to reflect the history and personality of the surroundings. The area was once home to a circus, a boxing ring, a wallpaper factory and plenty of bohemian artists, which means you may find a punching bag in your room (but fortunately no clowns). Rates start at $150 a night. Paasivuorenkatu 5b, 358-9-2311-700;

The writer travelled courtesy of Visit Finland.

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