So you want to be the next Alexandre Bilodeau? Word of advice, he didn't just strap on the skis one day and win 2 Olympic Gold medals the next. Sure going down a ski hill at 40 km/hr sounds like fun, but remember they put speed bumps in the way and then ramps that launch you into the air. Anyone who has tried moguls on a ski hill will tell you it is not a walk in the park.
One of the great benefits of the Olympic Games is that it inspires people to get more active and try something new. How many little girls wanted to be Liz Manley after the 1988 Olympics in Calgary or skiers that were inspired by Jennifer Heil from 2006? This is great but success like this does not come overnight.
No matter the sport that you decide to try you must first be realistic and take precautions. Even what seems like a simple sport such as cross country skiing has its risks. Taking on any exercise program must be done so gradually. With many of the winter sports they are outside activities and the elements must be taken into consideration. If you decide to start cross country skiing make sure you have appropriate clothing is key, as well as not to go to far at first. You will fatigue faster than you expect and my end up stranded on some trail. Extreme sports like ski-slope, snowboarding and in my mind the sledding events, (who thought it would be a good idea to go sliding down a tube of ice head first) require lots of training and education. These are not sports you should try without some coaching or supervision.
All sports come with risk and that needs to be remembered. Do not go into any sport blindly, be aware of the physical demands that will be placed on the body, and enjoy finding something that gives you joy.