GTA V - Online, the entire map is covered in snow right now. I'm going blind!

Crash Team Racing: Nitro-fueled - all 5 winter themed stages in this game are pretty fun: Blizzard Bluff, Polar Pass, Meteor Gorge, Gingerbread Joyride, and Clockwork Wumpa

Steep - I enjoy ragdolling down the alpine slopes in this game.

Final Fantasy X - Mt. Gagazet was a fun, twisty ascent, and fighting a certain boss at the top was the point where the game decided it had enough of my nonsense and was going to destroy me.

Star Wars Episode I Racer - Had a couple incredible snow races

Metal Gear Solid - Running around an Alaskan military compound, breath visible in the cold air, leaving footprints in the snow

Mega Man X - Chill Penguin and dash boots. Remember those snowball tossing robots?

Sonic the Hedgehog 3 - Ice Cap Zone, with those line scrolling sheet ice chunks floating in the water during the mini boss. Hard Times (happiest days of my life)

Teenage Mutant Ninja Turtles II: The arcade game - An original level added to the NES game, I remember those missile-nosed snowmen were tough!