Dragonblight in WoW was a nice area to look at, well basically the near entirety of Northrend was a winter wonderland.

Ignore the bird...

Phendrana Drifts - Metroid Prime (2002)

All Courses - Slalom (1987)

There are more, but these are the ones that immediately come to mind.

Outside in January and February (beats anything else posted in this thread by far)

EDIT: for reference

http://vacationadvice101.com/wp-content/uploads/2013/06/hammerfest-northern-lights.jpg

Obviously it isn't like that all the time, but this is the sort of thing you could actually see.

Skyrim
All the mountains in SSX
And as SvennoJ posted, the snowy area in Jak and Daxter.

Freezeezy Peak from Banjo Kazooie doesnt just look great, but it has a fantastic theme to go along with it.

Z

bloodborne

alundra

The world is great...those snowmen doe...

C&C Red Alert 1:


C&C Red Alert 2:


C&C Red Alert 3:


C&C 4:

Snowpeak Ruins from Twilight Princess is my favourite dungeon in the series

Freezeezy Peak from Banjo-Kazooie is also a great level

Shadow Moses Island, specifically in MGS4. So much nostalgia. When 'The Best is Yet to Come' started to play I almost shed a tear. And of course there's Rex.