List Time!
Games that I can think of that have snow areas:
HALO
HALO 2
HALO 3 (That multiplayer map where I managed to avoid, then jump right back into the same Plasma Grenade...D'Oh!)
Donkey Kong Country 1 2 and 3
Donkey Kong Land 1 2 and 3
DKC Returns/3D
Just about every single Super Mario game Except Sunshine.
The Mario Kart and Mario Party games.
Mario Hoopz 3 on 3 had an ice level (with music used in the level sampeld from "blind to see it" from another game or anime which is funny)
...Winter Olympics, Mario and Sonic at Beijing Olympics, the 2014 Mario & Sonic at Toronto Olympics
Pokemon X and Y (The later routes in Eastern Kalos)
Pokemon Heart Gold and Soul Silver (Mount Silver)
Pokemon Diamond, Pearl and Platinum. Route 216 and Mt Coronet Exterior.
(In fact every time it snows, I think of this score from Route 216)
Guild Wars 2, Shiverpeak Mountains
*(Don't tell SEGA EAST but...) Phantasy Star Online 2's snow area. It's the second area on the first planet. (Been awhile sense I played PSO2)
Pokemon Black, Black 2, White, White 2 during April, August, and December when it's "Winter" in the Isshu-er I mean Unova region. (Funny how I remember the Romaji Japanese Pokemon names and City names but have a hard time remembering the English names.)
Skyrim
Elder Scrolls On-er not out yet, never mind. But you can visit SKYRIM, or at least Riften and Eastmarch from what I hear.
Wyrmstooth mod for Skyrim.
Zelda Oracle of Seasons
Zelda Twilight Princess
Zelda Link Between Worlds, Lorule Death Mountain
Children of Mana
Secret of Mana
Kingdom Hearts II: World of Dragons
GODZILLA NES (The Creepypasta) Warning; may contain soul-eating demons!
Minecraft: Eternal Frost Mod (Freezer Dimension/Frozen Nether Dimension Mod)
Just about any RPG Maker VX Ace Project or Game I make will have some sort of snow area.
*For those interested, I use an English patch that IS against the rules but hasn't been enforced as it's seen as benign I guess? ARKSLAYER Patch and Story Patch. I stopped playing because it's a royal pain in the arse to patch the game EVERY WEDNESDAY.