American Gold finch- these guys stay year round in Indiana. Don't mistake them for a sparrow because there yellow feathers fade. They are a joy to watch in the winter as they are pretty tame. I make sure I have plenty of thistle for them in stock.
Another winter favorite, the White-throated Sparrow. I remember the time my barn cat hunted one and left it out dead for me, I almost had a heart attack! Beautiful little birds, though greatly unappreciated.