Yes, you can grow a container garden in the winter. Containers are more prone to soil freezing than gardens in the ground though. Your primary goal then, is keeping the containers warm. You have the same options you have for any garden:

1. Greenhouse. Pots work well in greenhouses, and if they are clustered together, they'll retain heat better. We like wide and deep trays instead of round pots for greenhouse gardening.

2. Cold frame. A cold frame can be set over containers, or it can be built onto square or rectangular planters. It helps to paint the inside walls white, to reflect light.

3. Row cover. This will keep plants warm in containers - it makes a difference of roughly 5 degrees.

4. Cloches. A Cloche is a cap, made of row cover, plastic, or glass. Row cover or plastic is fastened over a wire mesh frame to support it. Old French Bell Jars were made entirely of glass, and were set over individual lettuce plants, but this kind of cover can be used on a pot as well. You can make one from any kind of rounded frame, and heat shrink window film. If the cloche is large enough to cover the entire plant and pot, it will keep the soil warmer.

Some people recommend burying pots in the ground for the winter. This allows them to stay slightly warmer. I'm not a fan of this - for one, it is a lot of work for relatively minor benefit (especially in very cold climates), and the pot may be damaged due to frost heave. If you leave the pot in the ground year-round, the roots of the plant will grow out of the pot and into the soil, causing damage (and difficulty) if you then choose to move the pot. Roots can also damage the pot. I figure if you are going to bury the pot in the ground, you might as well just plant IN the ground.

Late fall is not too late to plant, just make sure the soil stays above freezing, and the air temps are at least 50 degrees average during the daytime for plants to germinate. They'll grow slowly, but if you choose cold tolerant plants, they'll still give you a respectable harvest. Cover them with some kind of protection as soon as nighttime temps get below freezing - while cold tolerant veggies and herbs can usually tolerate temps down to 15 degrees F or so, new seedlings cannot, and they don't grow much when subjected to those temps. They'll grow better with some protection.