If you check the Gallery section of Guide to the Point, there are some really neat photos of off-season rides and coasters.
Yes, trains are taken off the tracks, and maintenance work is done on both the trains and the coasters themselves: new seats/restraints, paint jobs, retracking if necessary, new wheels, etc -- more heavy maintenance than is usually performed during the season. Then, when the weather is agreeable to running trains again (no ice), they will be reassembled and tested, recertified for safety, and begin running for the new season.
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Po!nt of View: A different look at Roller Coasters.
http://www.crosswinds.net/~justmayntz/thrills/index.html