It would really depend on the cooking method, and the vegetable.
I know what you mean about perfering cooked vegetables in winter though. Its cold, and the vegetables in season arent of the salad type.
The longer you cook vegetables, the less nutritious (in general) it will be. But, of course there are vegetables, like tomatos, that have different nutrients avaliable when you cook them that would not be avaliable when they are raw.
Might be thinking too much about it though. Just keep eating vegetables, you cant really go wrong.