Our Bengal is turning 3, and I've had him outside on a leash almost every single day for the last 2 years.
We have a yard that's fenced in, so it was pretty easy to keep Zeuss in an enclosed area at first. The very first day he was outside, there was snow on the ground, so we knew pretty quickly that Zeuss didn't much mind the elements. He's been outside with more than a foot of snow on the ground, and he's pretty determined that the snow won't keep him from wherever he wants to go, and the fact that we have squirrels here year-round (even with snow) means we pretty much always have something to stalk/chase around the yard. (We wash his paws when we come in if we think he may have been on any salt, and he gets some extra food if it's particularly cold out. If it is under 20 degrees, we're probably staying in. Probably. )
At night time, when there are no cars around, we'll sometimes head out for a walk around the block. When he heads out at night, his tail is straight up in the air, antenna-like, and he moves at a very brisk pace. Funny to see the difference at night as opposed to the day. If anything really spooks him, we're never that far from home, so we usually just sprint back to the yard if possible. If we've been outside for a while, or if Zeuss has had enough for a bit, he just heads back to the door, and in we go.
The 2 best benefits of walking Zeuss are the following:
1. If Zeuss sneaks outside, or bolts out when the door is open, he now stops in the middle of the yard and waits for you to come out with him. So long as you don't go running over like an idiot (which might make him keep moving), he's so used to having a human with him that he'll wait for you to catch up and start playing with him. Makes it simple to just pick him up and bring him back in.
2. Zeuss wasn't much for petting his first few years, but after a brushing became part of the outside ritual (when we come in, his jacket comes off, I put a towel on the floor, he walks over onto the towel, and I brush him for a minute or 2 before he gets off the porch into the house), he came to love the attention. Now I can just show him the brush when I'm on the couch and, provided I'm wearing pants he likes, he'll hop right into my lap for a good brushing session. I can't imagine he'd have let this happen if we didn't get him to take a brushing after the daily walks.
BTW, while on the leash, Zeuss has still managed to pull a baby bird out of a tree and catch a fieldmouse before we ever realized what was happening. Both the mouse and the bird were freed soon after, but it was quite an eye-opener each time. The bird he jumped and grabbed off a low-hanging branch, and the mouse I think was just stupid enough to try to run by Zeuss when he thought Zeuss was looking for squirrel.
We got the walking jacket from here: http://www.hdw-inc.com/walkingjackets.htm