I also considered doing this.
Firstly what type of brakes you have will depend on what you need.
You need to look for
- size. Most important get the same as you have already. Also check the rim width with rim brakes as mentioned in comments below
- weight -if you have money to spend get some quality lightweight ones. If they are better than your existing ones, consider these you new summer ones and use the old ones for winter
- brakes (disc or rim) If you have disc brakes you will need rotors too, or you'll be swapping them out all the time too.
- cassette. You'll need a wheelset which can accommodate a cassette that matches the the current one on your bike. There's no need to replace the chain if you are getting the same speed (number of cogs) cassette. Genreal consensus in the comments below is also to replace/swap the chain.
Also cleaning the chainset will help a great deal in looking after your bike for the winter
So in summary you will need a new cassette and new disc rotors if you have disc brakes to save you swapping these out all the time.
How often do you change the tyres? is it worth the cost if you change them 4 times a year?