The country which has won the most gold medals and most medals overall in the Winter Olympics is Norway.
Out of the 200+ Countries/NOCs, 119 have participated at the Winter Olympics at least once, 47 of these have won at least one medal, and 42 have won at least one gold medal. Romania have attended the most Winter Games (22) without winning gold. Greece and Argentina have attended the most games without winning a medal of any kind (20 Winter Olympic Games).
Source: IOC, Topendsports.com