I have a set of spare alloys fitted with Winter tyres for the missus's CR-V. Living in northern Scotland, I usually put them on in October and take them off in March but it has been unusually mild so I haven't fitted them yet this year. Freezing today though so I'll do them this weekend.
A set of spare alloys is a good way to go as others have said. By changing the wheels yourself you save paying to have the tyres swapped twice a year; you avoid having your good alloys accidentally damaged by a garage; and you can sell the spare set when you sell the car. I bought a set of cheap discounted Wolfies from this place http://www.wheelbasealloys.com/ a few years ago and they've been fine. I've fitted them with Vredestein Wintrac Extremes which I can recommend.
I don't put Winter tyres on my Z. Instead, I bought a tidy 2004 Suzuki Jimny which I use whenever there's snow or the roads are icy. It's cheap to run, reliable, and has proper switchable 4 wheel drive (rear wheel, 4 wheel hi and 4 wheel lo). In 4 wheel lo it will get through anything and it's also a useful car for abandoning in town on nights out etc (which I'd never do with the Z)!!!