Rather uniquely, their attire consists of that which reminds us of what the Plain Doll wears within the Hunter's Dream; very well hinting that the Lanterns are Nightmare versions of said Doll. Again, something to point out; the Lanterns' heads are encased by dead Messengers, further proving this point. Atop their bloated heads, besides the Messengers, one can make out what seem to be large eyes; this may point towards the Plain Doll having Insight, or in the very least an understanding of Eldritch Truth.
Note: The eyes are remiscent of Ebrietas, Daughter of the Cosmos' eyes that are held within her mouth, further proving this above-mentioned point.
The Winter Lanterns cause Frenzy through their one-hundred-and-eighty degree cone of vision (yet to be confirmed): for more info see the Frenzy page.
Another Interesting note worth mentioning is that the Lanterns, when not hostile or actively aware of the player's presence, hum - or sing, both are up for debate - something reminiscent of the song that plays during the boss fight against Mergo's Wet Nurse, and the tune from the music box given to you by Young Yharnam Girl.
Song's name: Lullaby For Mergo.