It's ultimately your choice whether to winterize your pond - you may want to consider how cold winters typically get in your area. If you typically see a few days each year where the temps dip into the 20s, it's a good idea to take some basic steps to protect your investment. Your primary concerns are likely to be protecting your equipment, your fish, and your plants.
Just like your household plumbing, pond pumps and other equipment can be damaged if water freezes inside the pipes and mechanisms. Vulnerable equipment should be cleaned and stored until the weather warms up again. Many fish can overwinter in an outdoor pond if it's deep enough to still allow a couple of feet of swimming room below the maximum ice depth. You'll need to adjust their food to accommodate their slowing metabolism. Fish that are overwintering still need to breathe -- be sure to keep deep aerator going throughout the winter, so that oxygen makes it to the bottom layers where they're hanging out. You may also need to install a pond heater if your climate is cold enough for keep a layer of ice on the pond. A heater will keep a small area free of ice so that gas exchange is possible. To keep your hardy plants happy, trim them back before winter sets in to just a few inches above their crown or roots. Submerged plants like lilies should be moved to a deep part of the pond. Tropical annuals should be discarded.
