Why is the wind important, what is the darkest night of the year, and what do the woods symbolize?
Some commentators believe that this poem is a metaphor for death. They talk about the idea that the darkest night of the year is a symbol for the end of life. Literally, of course, the darkest night of the year would be the winter solstice, or at least that's the shortest day of the year. This is a metaphor for death because it is the closest the sun comes to just disappearing.
By this way of thinking, the woods, too, are death. The speaker is thinking that he might like to die (they are lovely, dark and deep) but eventually decides that he can't do that right now.