The reason Santa Claus is frequently depicted as winking is that he’s also based to some extent on Odin, the king of the Norse gods. Odin, as you may know, traded one of his eyes for wisdom. As a result, he frequently appears to be winking, much like Santa Claus. He also has a long, white beard like the one Santa Claus sports, whereas the beard of Saint Nicholas is usually depicted as being fairly trim.
Another interesting thing about Odin is that he was known to ride on a horse with eight legs. Though I’m not entirely sure how a horse with eight legs would manage to get around, the number eight suggests Santa Claus’s eight flying reindeer. And, yes, the connection is a bit of a stretch, but I admitted that yesterday.
What’s more significant is that Norse and Germanic festivals celebrating the Winter Solstice included an opportunity for children to fill their boots with hay and sugar on Solstice Eve as a gift to Odin’s horse, who was hungry from Carrying Odin around on the great Wild Hunt associated with the season. Returning the favor, Odin would leave gifts for the children who had been so kind to his horse.