My best advice is once you think you're dressed warm enough... add another layer or two. We were there last year and I can't remember when I was so cold. The best part is going back into the gift shop/snack area like Briar Rose mentioned AFTER you're frozen to a crisp for yummy hot chocolate.
The kids loved it! The rides add up fast and between our 2 kids, a $20 book of tickets doesn't last very long. cha ching!
Don't expect to see something like the Osborne's light display. They kept mentioning how many millions of lights they put up in Hershey, but it is spread out alot compared to the backlot that is "dressed" for the Osborne's display. I'm not saying it wasn't nice, just different.
There are Hershey characters wondering around the park, too, for pictures with the kids.
All in all, it was fun, and I've had a coupon for something off something on my refrigerator since June for this. Just have to decide when to go.