Central air winterization and insulation
No. There's nothing that really needs to be done, as the units are designed to be outside.  The refrigerant in the lines will not freeze, so you don't have to worry about the lines bursting. Wikipedia lists the melting point of R-410A at -247&deg;F&dagger;, so it would have to get fairly cold before you'd have to worry.

Some folks like to cover them, but that's not recommended. Covering the units can give mold and mildew a lovely place to grow, especially in the spring when temperatures begin to rise. 

If the unit is in a place where snow thrown by shovels, blowers, or plows will hit it. Then you might want to build something to protect the unit. Just make sure anything you build allows adequate air flow, while also providing protection.

&dagger; Melting point is at atmospheric pressure.