If you intend to spend all your time in towns and cities, you have nothing to fear: you can visit these areas at any time of year, despite the fact it gets cold and wet in winter. You are never very far from places where you can shelter from the weather in urban areas. The old medieval cities of Tallinn and Riga become especially charming places to visit at Christmas time.
Adventurous types who don't mind the cold may well specifically choose to visit the Baltic countries in winter. You do need to be aware that the nights will be long at this time of year, and there will be plenty of snow in evidence, with the weather even making it possible to drive across to some of the Estonian islands by car at times. You'll also be able to try your hand at cross-country skiing (a very popular pastime in the Baltic countries) and ice-skating. You'll certainly appreciate the saunas when it comes time to warm yourself up again!
The fairly northern location of these three countries means they are subject to the phenomenon of very long days in summer. At the summer equinox, which is also known as St John's Day, there is almost no night at all in Tallinn. The local people celebrate this time of year and light special St John's Day bonfires. For those of you thinking of visiting these three countries in summer, you can be secure in the knowledge that you won't run out of daylight whilst touring around and exploring! However, don't forget your waterproof coat: the possibility of a shower occurring can never be entirely ruled out.