It's called seasonal affective disorder (SAD) and it's essentially a form of depression which is triggered by the time of year in question. SAD mostly occurs in the winter months when it's darker and colder. It's possible that lack of sunlight can effect people in this way as your body tries to send you to sleep as it goes dark, which in the winter months is very early, while your mind's telling you it's way too early to sleep yet. This confusion can lead to to fatigue or decreased levels in serotonin, which then leads to a greater feeling of anxiety or indeed depression.
For those who already suffering from depression or those predisposed to, you'll be more at risk of SAD and in some cases you might find that your symptoms actually get worse during the winter months. If you’ve got reason to believe that you could be suffering from SAD then talk to your GP, there are all sorts of things you can try to counter the condition, from light therapy to specific anti-depressants and other drugs. Just don't give in to depression!