This article discusses the laws and discrimination and violent acts that Russia has towards the LGBT community and how some could possibly use the Olympics to stand up against this and make it an issue in Russia.

http://www.grantland.com/story/_/id/9522926/gay-rights-sochi-boycott-movement

I'm not sure if there are any traditionally "gay" sports such as Women's basketball for the Winter Olympics. It's almost too bad this isn't a Summer Olympics as the issue would have really been forced with Women's basketball players being more openly gay such as Griner.

also approved legislation that hands out two-week jail sentences for any tourist suspected of being gay. (Four Dutch tourists were in fact recently arrested for "suspicion of promoting homosexuality to children.")

Griner isn't gay. She is a dude who likes women.

I'm not sure how I completely overlooked figure Men's figure skating when asking about winter sports that have a openly gay participants (well, I probably overlooked it as I don't care about it).