My friends say that Underhill State Park is not officially open in the winter, but many do camp in the lean-to’s. There is no water at the park, but a stream along side the road runs all winter, and it's not too far up the road to use a sled to pull water up there. You can only get part way up the road in winter. About a mile of road up to the State Park is not plowed. However, it is usually tracked out by skiers and boarders and snow shoers. So it seems feasible, but this still does not speak to the "legality" of camping there, just the custom. Call VT state parks if you're concerned.