Winterfell is the seat of House Stark, and often considered the capital of the North. It was supposedly build over 8,000 years ago by Brandon the Builder, and has been the seat of House Stark for centuries, from when they were Kings of the North, to their current title of Wardens of the North.
Eddard Stark is the current head of House Stark, and Lord of Winterfell. He lives there with his wife, Lady Catelyn, of House Tully, and their five children: Robb, Sansa, Arya, Bran and Rickon. Eddard's illegitimate son, Jon Snow, has recently joined the Night's Watch with his uncle, Benjen Stark.
The Starks are the most concerned about the current threat to Westeros. The Northmen know better than the other houses how serious the danger they are in is, and so their efforts to find the Shield of Winter take priority.