In Scotland in the winter, you can get all sorts of weather. It might be mild and damp, or freezing cold, or blizzards, or some mixture of these. But if the weather is nice, the highlands can be beautiful, with snow on the hills and ice on the lochs.
So it can be very nice for walking, or other outdoor activities. There are plenty of scenic easy walks around much of Scotland, so you can find something the distance you like. You could check Walk Highlands to get an idea of routes. You could find routes ending near a pub, so you can get food and warm up afterwards. Remember it gets dark much earlier in midwinter, especially in northern Scotland. So set off early, and allow plenty of time to get back.
Climbing mountains in the winter can be much harder. For that you need to be prepared for all sorts of weather - ensure you have proper clothing and footwear, plus equipment as required. Some mountains may be covered with ice and snow, so you need crampons and an ice axe, plus experience of how to use these. And if the weather changes, you could have to navigate through a blizzard. So stick to lower level walks if you want to avoid this.
In parts of the highlands, many tourist attractions will be closed for the season. The Jacobite steam train only runs between May and October. You can still take a regular ScotRail passenger train along the same route, which lets you see the great scenery, and is cheaper. Many whisky distillery tours will be closed for the winter, but you should be able to find a few which are open.
So I would say it is worth travelling to Scotland in the winter. You may be lucky, and get great weather for walking. But it is a good idea to plan some bad weather options just in case, eg easier walks, or indoor attractions to visit.