The Tibet levels in Tomb Raider II are pretty good, particularly Tibetan Foothills.
The ice world in Super Mario Bros 3 is always a highlight of a run through, even if there are one or two levels that irritate a little bit.
Freezeezy Peak in Banjo Kazooie and some of the levels from Donkey Kong Country / Yoshi's Island - already mentioned; all great fun.
Always enjoyed the Surface levels in Goldeneye, particularly with infinite ammo / all weapons and unlimited enemies.
Snow world in Space Station Silicon Valley is full of charm (as is most of the game).







