I played too many snow levels, that I couldn't accurately pick a best one. So I guess I will pick an underrated one and the most recent one I played.
Digimon World- When you first get to the freezelands you are accosted by epic music. Basically a blizzard in the background, that makes you feel cold. If you are unlucky you will run into Garurumon and get absolutely rocked by one of the hardest bosses in the game. Running through the freezelands is completely necessary if you want to go the economic approach and make some good money. Later on you could find the Ice Sanctuary and listen to even more epic music.
Mass Effect- I am currently playing, and I just finished Noveria. An interesting ice planet with many things to do. Of course most of the storylines are inside, because it is too cold outside for consistent human life.
