With the steri-pen, be aware that batteries go fast in cold weather. Carry spares and (you probably already do) carry a back up (chemical or filter).

With any chemical treatment that I know about, in cold water you'll need to let the water stand for quite a bit longer than the instructions say.

Another item of note is that iodine, probably the most popular chemical treatment for outdoorsmen in N America, really does not do a good job on cryptosporidium although it does work well on girardia. Crypto isn't very common, so iodine may still be an appropriate choice, but something to be aware of.

One further thought: boiling is darned effective and will kill off a lot of things that might well survive iodine, but you do have to be able to make fire AND have enough fuel available. If you like higher altitudes (9000+), you have to hump liquid fuel -- wood except in an emergency isn't an appropriate choice at higher altitudes due to slow growth rates and fragile montane/alpine eco systems. Liquid fuel weighs a fair amount, which makes one of those little vials of iodine tabs ever so attractive.