The combination of radicchio and frisée provides wonderful texture, and the sherry vinegar, feta, oranges, and Kalamata olives lend a Mediterranean flourish to this refreshing winter salad. Round Chioggia radicchio is commonly available in supermarkets; if you can find them (during winter's peak season, usually at specialty markets), you might try the more exotic Tardivo or Castelfranco varieties in this salad.
To make the dressing, cut the peel and white pith from the oranges. Working over a small bowl and using a small, sharp knife, cut between the membranes to release the segments. Squeeze membranes to release the remaining juice. Combine 1/4 cup orange juice and vinegar in a small bowl (reserve remaining juice for another use). Whisk in olive oil. Season to taste with salt and pepper.
Toss the mâche, frisée, and radicchio in a large bowl. Add the orange segments, onion, and olives. Drizzle dressing over the salad and toss well to coat. Sprinkle with crumbled feta cheese and serve.