Love Yellowstone in the fall
Its great, particularily because you miss the crowds of June/July/August. One thing to keep in mind though - I suspect most if not all of the campgrounds are either closed or partially closed. Also a lot of the stores and resturants will probably be closed too. I think Mammoth Campground is the only one that stays open year-round. Mammoth is at the north entrance (Gardiner, Montana). Also, when I was there 2 weeks ago, the road between Madison Jct and Norris Jct was closed from 10 am to 6 pm, and the road from Roosevelt to Canyon was getting ready to be closed for the season. Still worth going, just makes it a little longer to get around if you are sightseeing.
The thermal features are really a sight on a cold fall morning. Have a good trip.