All of the snow areas in Pokemon. Especially in Kalos.

Freezeezy Peak in Banjo Kazooie (Nintendo 64) is my favorite. That giant snowman is memorable!
And also the Dragon Cave track in 1080 Snowboarding. Ok, it´s not about Christmas... but it does have snow so it counts right?

Isshu?

Did you play the games in Japanese?

the snow themed levels in Yoshi's Island were always fun for me. okay they were rage inducing at moments, but there is just something about the snow levels that i do enjoy.

Snowpeak Ruins from Twilight Princess and Freezeezy Peak are my favourites

Secret of mana. That ice crystal tree world with that chilling soundtrack.

I liked the snow levels in Crash Bandicoot 2, and Super Mario 64's was pretty cool too.

The one in DKC where a snow storm gradually moves in. Awesome. Other good ones include the snow mountain zone in Majoras Mask and the snow zones inSMB that most people warp passed. Most 3D Mario’s have good snow levels too, and most renderings of Hoth are great. Mount Hylia in Breath of the Wild was lovely.

Christmas Nights on the Sega Saturn was the best xmas game ever!! Also James pond on the mega drive (Genesis) has a good XMAS part