I went on a Glacier Walk and Northern Lights tour with the Icelandic Mountain guides back in January 2014.
That winter day the weather was perfect, cold but bright with no wind. We walked up Sólheimajökull glacier in daylight and on the way down the sun begun to set so we experienced the most beautiful sunset, standing on top of the glacier. After we visited Skógasafn museum and had traditional Icelandic lamb soup at a local restaurant.
After that another road was taken back to Reykjavík through Þingvellir, National Park to try to catch the northern lights but sadly we were not blessed with their present at this time.
Here is a link to the tour.