Our 3 have an unheated barn; they're allowed out 24/7. It's a "big-horse" barn with the "top/bottom" doors. I close the top doors to block rain/wind, and they can toodle out underneath through the bottom doors. We don't get snow that frequently here in WA; but, somewhere I have photos of Nicky and Coco more than belly-deep in snow. They just plow right through the snow. They're not shaved and don't wear blankets. They only get hay (to keep their little internal heaters cranking.)
The only "freak-out" moment I had was the first year, Nicky was walking around with snow/ice packed into his hooves so he looked like he was wearing platform heels; but by the time I finished panicking and went back out to pick his hooves (like maybe 5 minutes) he had already knocked his hooves clean.
I understand your fear of barn fires. The electrical to our barn is so bad (haven't had time to re-hab it yet) that I don't even like to turn on the lights in ours. Our fence chargers are in there, but we've redone the electrical for that (plus the chargers don't draw that much current.) I would love to plug something in for the water buckets, but like you I fear fire risk.
We have black rubber water buckets (around 6-7 gallons.) Since NIcky's bucket is somewhat near our garage where electric has been re-done, his has an immersion heater (like this:
http://www.horsetackonline.com/immersion-water-heater-by-miraco.html ) hooked up to an 'outdoor-rated' extension cord run from our garage. He doesn't mess with things like the two girls do (especially Baby.) I've resistance/voltage checked the immersion heater and feel pretty comfortable with it.
We can't do that with the two girls due to where they're located. Plus Baby tries to dink around with everything. This past week or so, we had a cold snap, so I was using gallon milk jugs. I'd fill two jugs with really hot water; if I went out late at night with 2 gallons--it did freeze over a bit but then I'd go out early in the morning--pick the ice off and pour a couple more gallons of hot water.