Having been a resident of the northern plains my entire life I know this problem too well. In winter the air in my house gets very, very dry.
First - if you are a home owner - get a whole house humidifier. This hooks up to your furnace system and delivers water to the heated air going to your house vents. Anyone with basic tool skills can install this in an hour or two and it costs under $100.
You do have to be careful though because the natural tendency is to turn the humidity up to "normal" summer levels like 50%. If you do this water will condense on windows behind curtains/blinds and you will get mold. You need to dial it back a bit, depending on your house.
Otherwise the standard humidifiers work well for single rooms. Close your door to prevent air flow if possible.
Also, invest in a quality lotion for your body. I have used Neutrogena for many years and it prevents me from getting itchy. As a bonus it also prevents static problems with clothing if you put it on your whole body.